| Tekijä: | Fleming, J. Kirby, C. Ostdiek, B. |
| Otsikko: | The economic value of volatility timing |
| Lehti: | Journal of Finance
2001 : FEB, VOL. 56:1, p. 329-352 |
| Asiasana: | Volatility Portfolio management Value analysis Financial models |
| Kieli: | eng |
| Tiivistelmä: | Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. The authors examine this question by using conditional mean-variance analysis to assess the value of volatility timing to short-horizon investors. They find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk and transaction costs. |
SCIMA