gains of having such an asset in the portfolio in case of very high volatility in financial markets. …

Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation …. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and … paper investigates the economic benefit of direct utility based estimation of the parameters of a volatility model and …

Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility … model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function … used to estimate the parameters of a volatility model. We find support for the use of intraday data for estimating …

This paper uses the multi-chain Markov Switching model to examine the nature of the volatility transmission across … it is tranquil, and portfolio weights are larger for assets that are in the low volatility state. …

This paper investigates how best to forecast optimal portfolio weights in the context of a volatility timing strategy …. It measures the economic value of a number of methods for forming optimal portfolios on the basis of realized volatility … time series of optimal portfolio weights are constructed from observed realized volatility and direct forecast is also …

Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are … generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive … the loss function under which models of realised volatility are estimated. It is found that employing a utility based …