Browsing BI Open by Author "Horvei, Jørgen"
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Does Volatility Timing Enhance Portfolio Performance?
Horvei, Jørgen; Bakken, Maria (Master thesis, 2022)In this paper, we replicate the methodology of Moreira and Muir’s “Volatility-Managed Portfolios” (2017). We investigate whether it is possible to benefit from volatility timing in smaller equity markets by testing the ...