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Sequential Optimal Portfolio Performance: Market and Volatility Timing · Study

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PreprintSequential Optimal Portfolio Performance: Market and Volatility Timing

Michael Slater Johannes2002

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Preprintgreen2002

Sequential Optimal Portfolio Performance: Market and Volatility Timing

Michael Slater Johannes · Nick Polson · Jonathan Stroud

79 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1971Optimum consumption and portfolio rules in a continuous-time model 1987Expected stock returns and volatility 1980On estimating the expected return on the market 1999Predictive regressions 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement 2000Investing for the Long Run when Returns Are Predictable 2002Bayesian Analysis of Stochastic Volatility Models

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2003CAPM Over the Long-Run: 1926-2001 2006Evaluating Portfolio Policies: A Duality Approach 2008Are Stocks Really Less Volatile in the Long Run?2004Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics 2009Are Stocks Really Less Volatile in the Long Run?2021Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies

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Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations79

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.304976

openalex_workW19890208

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2011Payout yield, risk, and mispricing: A Bayesian analysis

2014What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio