Blar i NHH Brage på forfatter "Korbosli, Elias Tjomsland"
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Is there value in complicating volatility management?
Korbosli, Elias Tjomsland; Østbø, Anders Mork (Master thesis, 2019)Volatility managed portfolios take less risk when volatility is high, and more risk when volatility is low. Moreira and Muir (2017) employ a simple methodology which scales factor exposure by the inverse of realized variance. ...