Targeting volatility has become very popular in the markets because it reduces the tail risk. However, during a market …

nonlinearity, and improved out-of-sample prediction. This article conducted a comprehensive, objective, and quantitative …

benchmarks in terms of risk minimization. These effects are amplified for investors with an increased sensitivity to risk …-adjusted returns, during high volatility periods or when accounting for tail risk …

risk factors. Risk factor correlation increases when investor sentiment worsens. This suggests that corporate bond … investors change their perception of risk factors, which results in higher risk factor correlation and finally higher bond …Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it …