Smoothing Volatility-Managed Portfolios
Using a new variational Bayes inference method to smooth volatility forecasts can decrease excess leverage and turnover, thereby enhancing the performance of volatility-managed portfolios.
Featured in No. 35 on 30 Jan 2024 ·
- Released
- 27 Dec 2022
- First featured
- No. 35 · 30 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4708509
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