. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …

significantly, when an inter-temporal risk parity strategy is applied. Volatility clustering and fat tails are behind this … strongest volatility clustering and fat tails. For government bond factors, with little volatility clustering, the benefits of …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

This paper shows that tracking error volatility (TEV) is characterized by reversion toward the mean. Mutual funds with …

ability of these funds by estimating hedge ratios and optimal portfolio weights. Taking a short position in the volatility of …