Essays about: "Volatility Timing"
Showing result 1 - 5 of 12 essays containing the words Volatility Timing.
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1. Volatility Timing using Machine Learning - An Application to a Signal Based Portfolio
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Recent events such as the covid-19 pandemic and the Russian-Ukrainian war have led to a tremendous increase in volatility, making financial markets riskier for investors. To see whether investors can counteract or profit from such risk, we develop a volatility timed trading strategy. READ MORE
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2. Improving Planning Stability : A case study of Planning at AstraZeneca
University essay from Linköpings universitet/ProduktionsekonomiAbstract : To provide high service level, an organisation must maintain flexibility in production planning. This allows them to react to changes in demand and supply information. Changes in production plan decreases planning stability. Low stability has knock on effect on supply of material. READ MORE
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3. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES
University essay from Göteborgs universitet/Graduate SchoolAbstract : Despite the high expected returns of the momentum strategy, there are two main problems associated with it: (i) infrequent but severe losses known as momentum crashes, and (ii) high transaction costs. In this paper, we address the first problem with volatility timing strategies developed by Daniel and Moskowitz (2016) and Moreira and Muir (2017). READ MORE
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4. An Empirical Evaluation of Improved Volatility-Based Trading Strategies
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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5. International Volatility-Managed Equity Factors
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. READ MORE
