Does Volatility Timing Enhance Portfolio Performance?

dc.contributor.author	Horvei, Jørgen
dc.contributor.author	Bakken, Maria
dc.date.accessioned	2022-11-28T10:14:03Z
dc.date.available	2022-11-28T10:14:03Z
dc.date.issued	2022
dc.identifier.uri	https://hdl.handle.net/11250/3034414
dc.description	Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2022	en_US
dc.description.abstract	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 strategy on systematic risk factors in Norway. The strategy is constructed by scaling monthly returns by the inverse of their previous month’s realized variance. We find that the strategy only performs well in unrealistic trading environments where all costs and restraints associated with transactions are non-existent.	en_US
dc.language.iso	eng	en_US
dc.publisher	Handelshøyskolen BI	en_US
dc.subject	finans finance	en_US
dc.title	Does Volatility Timing Enhance Portfolio Performance?	en_US
dc.type	Master thesis	en_US