Essays about: "Stefan Wennemar"

Found 1 essay containing the words Stefan Wennemar.

  1. 1. An Empirical Evaluation of Improved Volatility-Based Trading Strategies

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Raphael Bierschenk; Stefan Wennemar; [2019]
    Keywords : Volatility-Managed Portfolios; Volatility Timing; Moreira and Muir; Portfolio Choice; Variance Estimation;

    Abstract : In 2017, Moreira and Muir published their paper "Volatility-Managed Portfolios", showing that investors can beat the market, purely by choosing their risk exposure based on the inverse of last month's realized variance. While their results are influential in nature, suggesting, against common belief, investors should take less risk in recessions, they singularly rely on realized variance as a risk measure and a fixed monthly rebalancing period. READ MORE