Volatility-Managed Portfolios: Evidence from the Norwegian Equity Market
Abstract
We study the results of volatility-managed portfolios on the Nor-
wegian market to examine Moreira and Muir's (2017) ndings. We
replicate their methodology and implemented it on data from the
Oslo stock exchange. We found that most of our results mirrored
Moreira and Muir's (2017) report. We concluded that there is a
clear indication of positive alphas in most cases.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance/Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2019