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On the Optimality of Target Volatility Strategies

Kais Dachraoui
The Journal of Portfolio Management Spring 2018, 44 (5) 58-67; DOI: https://doi.org/10.3905/jpm.2018.44.5.058
Kais Dachraoui
is head of investment advisory at Abu Dhabi Islamic Bank in Abu Dhabi, United Arab Emirates
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Abstract

In this article, the author establishes that target volatility strategies (TVSs) may not be viable for all asset classes. Furthermore, the author provides the necessary and sufficient conditions for any asset class to be a potential candidate for a TVS. The author shows that such conditions are relevant even if returns and volatility are independent, thereby implying that an inverse relationship between volatility and returns is not necessary for the viability of TVSs. It also follows that a well-outlined dynamic TVS can achieve a higher Sharpe ratio than the static maximum Sharpe ratio portfolio.

TOPIC: Analysis of individual factors/risk premia

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The Journal of Portfolio Management: 44 (5)
The Journal of Portfolio Management
Vol. 44, Issue 5
Spring 2018
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On the Optimality of Target Volatility Strategies
Kais Dachraoui
The Journal of Portfolio Management Apr 2018, 44 (5) 58-67; DOI: 10.3905/jpm.2018.44.5.058

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On the Optimality of Target Volatility Strategies
Kais Dachraoui
The Journal of Portfolio Management Apr 2018, 44 (5) 58-67; DOI: 10.3905/jpm.2018.44.5.058
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  • Article
    • Abstract
    • RELATIONSHIP BETWEEN VOLATILITY AND RETURNS
    • A MODEL FOR TARGET VOLATILITY STRATEGIES
    • HISTORICAL SIMULATION: TARGET VOLATILITY STRATEGY FOR DIFFERENT MARKET INDEXES
    • EFFICIENCY OF TARGET VOLATILITY STRATEGIES
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTES
    • REFERENCES
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