OBJECTIVES This research aimed to verify the performance of the Volatility Timing (VT) and Reward to Risk Timing (RRT … weights to less volatile assets, such as minimum variance, and volatility timing and reward to risk timing with η=4, would …

-especially volatility and illiquidity shocks-over the subprime crisis in order to investigate their market timing activities. In a …

In this paper we develop a framework for asset-liability management for pension funds in a time-varying volatility …

composition of the equity cost computation through this mechanism. However, the volatility is still a risk to the equity …-tilted strategy. There is a way to enhance the return with the volatility, which is named as “Flat Exposure”, to fix the portfolio … with a utilization of the beta. Actually, the more volatility, the more returns the flat exposure creates at the same …

equilibrium, investors acquire less information and informational efficiency declines. As a result, return volatility increases …

I examine the market, volatility and joint timing performance of US equity funds (locals) versus UK equity funds … aggressively to timing information. Moreover UK fund managers have a less aggressive investment style by timing the volatility pro …-cyclically contrary to US fund managers that time the volatility counter-cyclically …