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Volatility-Managed Portfolios: Evidence from the Norwegian Equity Market

Warholm, Erlend Amdal; Haugen, Stian
Master thesis
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URI
http://hdl.handle.net/11250/2624951
Date
2019
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  • Master of Science [1530]
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
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Handelshøyskolen BI

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