The Impact of Volatility Targeting-Reference-Cited by-同舟云学术

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The Impact of Volatility Targeting

Published:2018 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Harvey Campbell R.,Hoyle Edward,Korgaonkar Russell,Rattray Sandy,Sargaison Matthew,van Hemert Otto

Publisher

Elsevier BV

Reference22 articles.

1. Modeling and forecasting realized volatility;T Andersen;Econometrica,2003

2. Leverage aversion and risk parity;C Asness;Financial Analysts Journal,2012

3. Working Your Tail Off: Active Strategies Versus Direct Hedging;A Asvanunt;Journal of Investing,2015

4. Momentum has its moments;P Barroso;Journal of Financial Economics,2015

5. Asymmetric volatility and risk in equity markets;G Bekaert;Review of Financial Studies,2000

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal dynamic strategies on Gaussian returns;The Journal of Investment Strategies;2020

2. Drawdowns;SSRN Electronic Journal;2020

3. Conditional Volatility Targeting;SSRN Electronic Journal;2020

4. Enhancing Time Series Momentum Strategies Using Deep Neural Networks;SSRN Electronic Journal;2019

5. Strategic Rebalancing;SSRN Electronic Journal;2019

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