---
title: Semivolatility portfolios
url: https://www.ml-quant.com/papers/ssrn/4891824/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4891824
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4891824
featured: 2024-07-17
citations: unknown
topic: Derivatives & Volatility
---


# Semivolatility portfolios

The article proposes the use of semi-volatility-managed portfolios to enhance the performance of momentum portfolios by controlling skewness and downside volatility.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4891824
- Identifier: SSRN 4891824
- Released: 2024-07-11
- First featured: Quant Letter No. 57 (2024-07-17): https://www.ml-quant.com/issues/2024-07-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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