Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios
than portfolios with a constant notional exposure. We show that this result only holds for “risk …

In analyzing the performance of volatility-targeting strategies, we found that conventional
volatility targeting fails to consistently improve performance in global equity markets and can …

Using an in-fill argument, the properties of the sample median of a sequence of events are
established both for the case of a fixed period of time and for a period which shrinks as the …

We present dynamic trading strategies that target a predefined level of risk measured by
volatility, Value-at-Risk (VaR) or Conditional-Value-at-Risk (CVaR). Recent studies have …

Motivated by the recent market turbulence triggered by the COVID‐19 pandemic and the
changing interest rate environment, we propose an improved investment strategy for …

This paper attempts to extend the approach of quantitative investment and provide investors
with suggestions about volatility timing. Based on the volatility-managed portfolios strategy …

We show that conditional skewness and kurtosis of the momentum strategy are highly time-
varying and sometimes take extreme values or may even not exist. The high negative …

We study the econometric properties of dynamic risk parity, which volatility scales to
equalise risk through time using the precision process, the inverse of the time-varying …

This paper examines the effectiveness of using stock index futures contracts as substitutes
for fixed-income securities in implementing expected shortfall targeting strategy. We find that …

As cryptocoins are not tied to fundamental values or to investor protection regulation, their
price dynamics is unhinged in both directions. In institutional asset management of …