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.