The impact of volatility scaling on factor portfolio performance and factor timing
Year of publication: |
2022
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Authors: | Nucera, Federico ; Uhl, Björn |
Published in: |
The journal of asset management : a major new, international quarterly journal for the financial community. - London [u.a.] : Henry Stewart Publ., ISSN 1479-179X, ZDB-ID 2039445-7. - Vol. 23.2022, 6, p. 522-533
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Subject: | Diversification benefits | Equity factors | Factor timing | Portfolio formation | Volatility scaling | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation |
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