Portfolio allocation: Getting the most out of realised volatility
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References listed on IDEAS
- Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2001. "The Economic Value of Volatility Timing," Journal of Finance, American Finance Association, vol. 56(1), pages 329-352, February.
More about this item
KeywordsVolatility; utility; portfolio allocation; realized volatility; MIDAS;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2010-03-28 (Econometrics)
- NEP-FOR-2010-03-28 (Forecasting)
- NEP-UPT-2010-03-28 (Utility Models & Prospect Theory)
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