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- W3022910079 abstract "It is a common practice among investment practitioners to scale (leverage) their portfolio positions in risky assets (or trading strategies) according to forecasted volatility. There is a cross-sectional and a time series aspect of this procedure. In the cross-sectional dimension, we scale all assets to a common target volatility. After scaling, all assets will display similar realized volatility, i.e. all assets will be equally important for overall portfolio risk and performance. The objective here is better asset diversification. If all assets display equal Sharpe ratio and equal correlation, the resulting portfolio is also mean variance efficient. In the time series dimension, we want to achieve better time diversification, i.e. we want to make every period equally important for overall portfolio risk and performance. Both aspects of diversification can be found to different degrees in risk parity (predominantly cross sectional volatility scaling) as well as target volatility (predominantly time series volatility scaling) products. This contribution will focus on the theoretical and empirical foundations of target volatility. If target volatility offers better time diversification (even without larger expected returns), target volatility products will outperform buy and hold products by offering lower risk per unit of return. This will then lead to higher Sharpe ratios and mean variance utility." @default.
- W3022910079 created "2020-05-13" @default.
- W3022910079 creator A5083521992 @default.
- W3022910079 date "2015-01-01" @default.
- W3022910079 modified "2023-09-27" @default.
- W3022910079 title "Target Volatility" @default.
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- W3022910079 doi "https://doi.org/10.1016/b978-1-78548-008-9.50007-1" @default.
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