Volatility Managed Portfolios
收藏NBER2016-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w22208
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资源简介：
Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor Sharpe ratios, and produce large utility gains for mean-variance investors. We document this for the market, value, momentum, profitability, return on equity, and investment factors in
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美国国家经济研究局创建时间：
2016-05-01
