How much should you risk? Benefits from volatility timing

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Lof, Matthijs
dc.contributor.author Seppä-Lassila, Juhani
dc.date.accessioned 2018-03-28T12:43:44Z
dc.date.available 2018-03-28T12:43:44Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/30412
dc.description.abstract Strategies that scale portfolio position size by the inverse of past variance produce large alphas and appraisal ratios (“excess Sharpe ratios”). These strong benefits from volatility timing are found from a wide set of factor data from Europe and globally and slightly weaker in Japan. The outperformance of volatility-managed portfolios over buy-and-hold portfolios is discovered on both monthly and daily position scaling level. Findings of this study provide guidelines for investors to deal with volatility and enhance their returns. en
dc.format.extent 20
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title How much should you risk? Benefits from volatility timing en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword volatility en
dc.subject.keyword mean-variance trade-off en
dc.subject.keyword factor investing en
dc.subject.keyword volatility timing en
dc.subject.keyword market efficiency en
dc.identifier.urn URN:NBN:fi:aalto-201803281879
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus fi


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