VIX-managed portfolios
Author:
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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