PT  - JOURNAL ARTICLE
AU  - Frederick E. Dopfel
AU  - Sunder R. Ramkumar
TI  - Managed Volatility Strategies: <em>Applications to</em>
               <br/>
               <em>Investment Policy</em>
AID  - 10.3905/jpm.2013.40.1.027
DP  - 2013 Oct 31
TA  - The Journal of Portfolio Management
PG  - 27--39
VI  - 40
IP  - 1
4099  - https://pm-research.com/content/40/1/27.short
4100  - https://pm-research.com/content/40/1/27.full
AB  - Managed volatility strategies adjust asset allocation dynamically in anticipation of, or in response to extreme market volatility. This implies that during periods of market stress, investors can rebalance to a risk budget as an investment policy option, rather than strictly adhering to current practices that rebalance back to fixed portfolio weights. We measure the advantages of managed volatility with a multi-period model and find that the benefits increase with an investor’s ability to forecast market volatility beyond historical relationships. The practical application for investors is that a more flexible and dynamic investment policy may result in better investment outcomes.TOPICS: Volatility measures, portfolio construction, portfolio theory