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| Author: | Fleming, J. Kirby, C. Ostdiek, B. |
| Title: | The economic value of volatility timing using "realized" volatility |
| Journal: | Journal of Financial Economics
2003 : MAR, VOL. 67:3, p. 473-509 |
| Index terms: | Volatility Portfolio management |
| Freeterms: | Volatility timing Mean-variance analysis Rolling estimators |
| Language: | eng |
| Abstract: | The results indicate that the value of switching from daily to intradaily retuns to estimate the conditional covariance matrix can be substantial. The authors estimate that a risk-averse investor would be willing to pay 50 to 200 basis points per year to capture the observed gains in portfolio performance. These gains are robust to transaction costs, estimation risk regarding expected returns, and the performance measurement horizon. |
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