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- W3197470071 abstract "In this paper, we present a novel risk-scaling strategy based on a measure of downside risk and investigate its performance on underlying portfolios that are formed on low-risk anomaly. The downside risk-scaling strategy addresses two challenges of the volatility-scaling strategy, namely, underestimation of and indirect management of downside risk. We demonstrate that our downside risk-scaled strategy improves the unscaled underlying low-risk anomaly strategy as well as outperforms volatility-scaled strategy in terms of risk-adjusted return and various performance metrics that are related to downside events. • This paper proposes a downside risk-scaling strategy for low-risk investing. • The proposed strategy aims to directly manage downside risk of underlying portfolios. • Robust outperformance over the unscaled and volatility-scaled strategies is shown." @default.
- W3197470071 created "2021-09-13" @default.
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- W3197470071 date "2022-05-01" @default.
- W3197470071 modified "2023-09-30" @default.
- W3197470071 title "Managing downside risk of low-risk anomaly portfolios" @default.
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- W3197470071 doi "https://doi.org/10.1016/j.frl.2021.102388" @default.
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