characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … asset class's stand-alone volatility or correlation to the portfolio's remaining asset classes. Thus, this method lets … risk, equity premium, and volatility. We further define bandwidths for every risk factor loading. Once the effective …

the market index and risk-free asset. Optimal portfolio rules for time-varying expected returns and volatility are … including payout yields. The second is used to estimate the prevailing volatility. Reward-risk timing with machine learning … presents a unifying framework for machine learning applied to both return- and volatility-timing. …