Journals - Risk.net
Fri, 28 Feb 2020 10:41:50 GMT
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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