Show simple item record

dc.contributor.advisorSantos, Francisco
dc.contributor.authorJohansen, Thomas André
dc.contributor.authorEckhoff, Lars Kristian
dc.date.accessioned2017-02-27T13:03:45Z
dc.date.available2017-02-27T13:03:45Z
dc.date.issued2016
dc.identifier.urihttp://hdl.handle.net/11250/2432208
dc.description.abstractIn this paper, we examine the time-series relation between risk and return. We replicate the methodology of Moreira and Muir (2016a) and construct volatility managed portfolios that decrease the risk exposure when volatility is high, and vice versa. We implement the strategy on well-known risk factors in Norway and the UK, in addition to industry portfolios in Norway and in the U.S. The strategy in general produces large alphas and increased Sharpe ratios and the results are robust when controlling for exposure to other risk factors. We further show that using forecasted variance from sophisticated forecasting models rather than realized variance can improve the results of the volatility managed portfolios.nb_NO
dc.language.isoengnb_NO
dc.subjectfinancenb_NO
dc.titleManaging volatility: an empirical analysis of the time-series relation between risk and return Norwegian evidencenb_NO
dc.typeMaster thesisnb_NO
dc.description.localcodenhhmasnb_NO


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record