Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no … options at all -- Volatility derivatives in portfolio optimization -- Benefits of using volatility futures in investment … strategies -- Predictive properties of the volatility term structure -- Conclusions -- List of gures -- List of tables …

In this article, the authors find that a typical application of volatility-timing strategies to the stock market … three alternative volatility-timing strategies and find that they do not outperform the market either. Their results show …

Downside volatility and volatility typically comove but are not highly correlated during the most volatile times. We … show that portfolios scaled by downside volatility expand the ex post mean-variance frontiers constructed using the … original portfolios and volatility-managed portfolios of Moreira and Muir (2017), and improve the Sharpe ratios of the ex post …

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor …, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing …

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor …, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing …