Journals - Risk.net
Fri, 28 Feb 2020 10:41:50 GMT
language
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe ratio on the level of volatility.
Fri, 28 Feb 2020 10:41:50 GMT
language
