The impact of volatility scaling on factor portfolio performance and factor timing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
https://link.springer.com/content/pdf/10.1057/s41260-022-00279-9.pdf
Reference20 articles.
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3. Asness, C.S. 2016. Invited editorial comment. The Journal of Portfolio Management 42 (5): 1–6.
4. Barroso, P., and A. Dentzel. 2021. Do limits to arbitrage explain the benefits of volatility-managed portfolios? Journal of Financial Economics 140 (3): 744–767.
5. Barroso, P., and P. Santa-Clara. 2015. Momentum and its moments. Journal of Financial Economics 116 (1): 111–120.
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