Conditional Volatility Targeting-Reference-Cited by-同舟云学术

Conditional Volatility Targeting

Published:2020-09-04 Issue:4 Volume:76 Page:54-71
ISSN:0015-198X
Container-title:Financial Analysts Journal
language:en
Short-container-title:Financial Analysts Journal

Author:

Bongaerts Dion¹^ORCID,Kang Xiaowei²,van Dijk Mathijs³^ORCID

Affiliation:

1. Dion Bongaerts is an associate professor of finance at Rotterdam School of Management, Erasmus University, the Netherlands.

2. Xiaowei Kang, CFA, is head of research of the Indexed Funds Department at the Abu Dhabi Investment Authority and an affiliated researcher at Rotterdam School of Management, Erasmus University, the Netherlands.

3. Mathijs van Dijk is a professor of finance at Rotterdam School of Management, Erasmus University, the Netherlands.

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance,Accounting

Link

https://www.tandfonline.com/doi/pdf/10.1080/0015198X.2020.1790853

Reference24 articles.

1. On the coherence of expected shortfall

2. Will My Risk Parity Strategy Outperform?

3. How Regimes Affect Asset Allocation

4. Ang, A., W. N. Goetzmann, and S. M. Schaefer. 2009. “Evaluation of Active Management of the Norwegian Government Pension Fund—Global.” Working paper14 (December) .

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