Targeting volatility: A tail risk solution when investors behave badly
R Benson, T Furbush, C Goolgasian - The Journal of Index …, 2014 - pm-research.com
A target volatility equity strategy has provided superior risk-adjusted return and limited
downside risk compared with a US equity benchmark. We examine the range of …
downside risk compared with a US equity benchmark. We examine the range of …
Decision-Making, Sub-additive Recursive “Matching” Noise and Biases in Risk-Weighted Stock/Bond Commodity Index Calculation Methods in Incomplete Markets …
MIC Nwogugu, MIC Nwogugu - Indices, Index Funds And ETFs: Exploring …, 2018 - Springer
Risk-adjusted indices, index tracking funds and ETFs have grown in popularity but have
many structural and tracking-error problems that raise actionable issues of “suitability” and …
many structural and tracking-error problems that raise actionable issues of “suitability” and …
Algorithmic arbitrage of open-end funds using variational Bayes
HL Christensen - International Journal of Financial Engineering, 2015 - World Scientific
The open-end fund industry controls significant assets. At the same time, the US centric
mutual funds scandal of 2003 highlighted some of the short comings of the structure of these …
mutual funds scandal of 2003 highlighted some of the short comings of the structure of these …