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A Multifactor Perspective on Volatility-Managed Portfolios
Moreira and Muir question the existence of a strong risk-return trade-off by showing that investors can improve performance by reducing exposure to risk factors when their volatility is high. However, Cederburg et al. show that these strategies fail out-of-sample, and Barroso and Detzel show they do not survive transaction costs. We propose a conditional multifactor portfolio that outperforms its unconditional counterpart even out-of-sample and net of costs. Moreover, we show that factor risk prices generally decrease with market volatility. Our results demonstrate that the breakdown of the risk-return trade-off is more puzzling than previously thought.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Association 2024 |
|---|---|
| Edisi | Volume 79, Issue 6, December 2024, Pages 3859-3891 |
| Subjek | Portfolio Market volatility Volatility-Managed Portfolios risk-return trade-off |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | ill, chart, table, grafik, 772 hal, 20 cm |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |