VIX-managed portfolios

Author:

Božović MilošORCID

Funder

Republic of Serbia Ministry of Education Science and Technological Development

Publisher

Elsevier BV

Reference62 articles.

1. Macroeconomic risks in equity factor investing;Amenc;Journal of Portfolio Management,2019

2. Implied and realized volatility in the cross-section of equity options;Ammann;International Journal of Theoretical and Applied Finance,2009

3. The disappearing profitability of volatility-managed equity factors;Angelidis;Journal of Financial Markets,2023

4. Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns;Atilgan;Journal of Financial Economics,2020

5. Implied volatility and future portfolio returns;Banerjee;Journal of Banking & Finance,2007

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