Backtesting represents a set of techniques that aim to evaluate trading strategies on
historical data in order to verify their effectiveness before applying them to a market in real …

Assets with high and varying volatility, such as crypto or digital assets, are problematic for
institutional investors, making it difficult to apply standard portfolio construction techniques …

In the context of risk-based portfolio construction and pro-active risk management, finding
robust predictors of future realised volatility is paramount to achieving optimal performance …

In this article, the author uses a common framework to evaluate and compare various equity
downside protection strategies including constant proportion portfolio insurance, volatility …

This study predicts stock market volatility and applies them to the standard problem in
finance, namely, asset allocation. Based on machine learning and model averaging …