The disappearing profitability of volatility-managed equity factors-Reference-Cited by-同舟云学术

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The disappearing profitability of volatility-managed equity factors

Published:2023-09 Issue: Volume:65 Page:100857
ISSN:1386-4181
Container-title:Journal of Financial Markets
language:en
Short-container-title:Journal of Financial Markets

Author:

Angelidis Timotheos,Tessaromatis Nikolaos^ORCID

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. Best of the best: a comparison of factor models;Ahmed;J. Financ. Quant. Anal.,2019

2. Asset Management: A Systematic Approach to Factor Investing;Ang,2014

3. Comparing asset pricing models;Barillas;J. Finance,2018

4. Model comparison with Sharpe ratios;Barillas;J. Financ. Quant. Anal.,2019

5. Momentum has its moments;Barroso;J. Financ. Econ.,2015

Cited by 1 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. VIX-managed portfolios;International Review of Financial Analysis;2024-10

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