. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

relationship can be utilised in portfolio optimisation. First, based on a database of 600 individual equity returns from 22 …. Following this the influence of higher moments was examined in portfolio context, i.e. asset allocation decisions were simulated … presence of conflicting higher moment preferences a multi-objective portfolio optimisation problem for different sets of …

of idiosyncratic volatility in their equity portfolio holdings. Hedge funds select stocks wisely by picking high-volatility …-like payoffs. They also trade derivatives in a way to profit from the positive volatility effect. …While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock …

of idiosyncratic volatility in their equity portfolio holdings. Hedge funds select stocks wisely. They pick high … derivatives in a way to profit from the positive volatility effect …While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock …

his expected utility against the predictive strength of the carry and momentum signal. We parameterize the portfolio … choice problem and adapt it to accommodate asset classes with varying volatility levels. We find that the returns to optimal … in a diversified portfolio of traditional asset factors increases the Sharpe ratios of the portfolios by on average 0 …

strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and … VIX futures and call option selling in a portfolio context in 2008 and 2016 as well as over a 10+ year period beginning in … study is not to make a particular recommendation for a VIX-based investment strategy, meaningful portfolio return …

In this paper, we analyse the relationship between the currency carry return and volatility and liquidity risk factors … outperformance for volatility ones especially the global FX volatility risk factor. Consistent with the poor performance of currency … carry trades during high FX volatility regime, we also show that the well-established negative slope coefficient in the Fama …

portfolios, we propose simple adjustments to portfolio selection strategies that utilize centralization measures from financial … network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most … notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk …

This study investigates an efficient parametric portfolio policy model to improve the return distribution of the well … during the US subprime crisis in 2008/2009 with portfolio losses of up to one third of the investment value. The constructed … model overcomes these bad portfolio properties through computing the optimal carry trade portfolio weight for any monthly …