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Keywords: Volatility management
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2026) 15 (2): 179–207.
Published: 03 June 2026
...Xia Xu Recent studies find poor out-of-sample performance for volatility-managed portfolios. I propose a simple improved strategy based on Moreira and Muir (2017)’s formation of volatility management. The improved volatility management features effective risk scaling, conditional expected return...
Includes: Supplementary data
