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- Title
Managed Volatility Strategies: Applications to Investment Policy.
- Authors
DOPFEL, FREDERICK E.; RAMKUMAR, SUNDER R.
- Abstract
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.
- Subjects
ASSET allocation; PORTFOLIO management (Investments); ASSET management; ECONOMIC policy; INVESTMENT education
- Publication
Journal of Portfolio Management, 2013, Vol 40, Issue 1, p27
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.2013.40.1.027