Internet Appendix for “Improving Volatility-Managed Portfolios in Real Time”
An enhanced strategy for volatility-managed portfolios, based on Moreira and Muir 2017's formation, results in significant real-time performance improvement, including 148 Sharpe ratio increases and 165 positive abnormal returns.
Featured in No. 43 on 3 Apr 2024 · · 0 citations today
- Released
- 25 Aug 2023
- First featured
- No. 43 · 3 Apr 2024
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- SSRN 4778941
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