Target-volatility
ETF surge shows ‘worst-of’ autocalls have life in them yet
Assets in older structures have caught up with vol target versions that looked set to dominate
Portfolio management of Commodity Trading Advisors with volatility-targeting
This paper shows analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns and the dependence of the expected Sharpe…
Risk–return-efficient target-volatility strategies
Volume 3, Issue 3 (2014)