We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

We apply a two-step strategy to forecast the dynamics of the volatility surface implicit in option prices to all …-post volatility of the minimum-variance portfolio is lower when compared with the equal-weighted portfolio and a minimum …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

In this paper we document that at the aggregate stock market level the unexpected volatility is negatively related to … expected future returns and positively related to future volatility. We demonstrate how the predictive ability of unexpected … volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in risk …

This paper investigates how the two technical drivers, volatility and correlation, influence the algorithm of the …, which are double sorted on volatility and correlation between 1990 and 2014. Our findings are robust to liquidity issues …

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …