Tail-risk mitigation with managed volatility strategies
Year of publication: |
2019
|
---|---|
Authors: | Dreyer, Anna A. ; Hubrich, Stefan |
Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 8.2019, 1, p. 29-56
|
Subject: | managed volatility (MV) | tail-risk mitigation | return distribution normalization | utility-based performance metrics | USA | United States | Risikomanagement | Risk management | Volatilität | Volatility | ARCH-Modell | ARCH model |
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