There has been a growing demand for portfolio management using robo-advisors, and
hence, research on the automation of portfolio composition has been increasing. In this …

As a response to unforeseeable market turbulence—such as the 2008 financial crisis and
the most recent market drawdown triggered by the COVID‐19 pandemic—we propose a …

Designing a structured investment product with capital protection which would be
characterized by high capital protection level as well as high equity participation rate is a …

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 …

Abstract Volatility Target (VolTarget) strategies as underlying assets for options embedded
in investment-linked products have been widely used by practitioners in recent years …

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 …

Recent years have seen an emerging class of structured financial products based on
options linked to dynamic asset allocation strategies. One of the most chosen approach is …

Investment professionals, and some academics, have long believed that asset prices tend to
move in trends. Practitioners have attempted to profit from this belief by buying assets with …

Tail risk protection in asset management Page 1 Electronic copy available at: http://ssrn.com/abstract=2524483
Tail risk protection in asset management Cristian Homescu ∗ This version: November 11 …

The target volatility strategy is a very popular investment concept in financial marketplace.
For my dissertation, I focus on studying the target volatility investment concept in application …