Blar i NHH Brage på forfatter "Bressand, Julie Marie Tangerås"
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Volatility Managed Short Duration Premium
Bressand, Julie Marie Tangerås; Rostrup, Thea Elise Solheim (Master thesis, 2022)This thesis investigates if the short duration premium of the equity duration strategy can be improved by managing its volatility. Based on estimates by Gonçalves (2021), we replicate equity duration sorted portfolios ...