Target-volatility
Spotting co-movement breakdowns with neural networks
Autoencoders can detect changes in relationship between assets in real time
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)