Predicting the Success of Volatility Targeting Strategies:Application to Equities and Other Asset Classes

Romain Perchet · Raul Leote de Carvalho · Thomas K. Heckel · Pierre Moulin

26 citations0/0 files storedThe Journal of Alternative Investments

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

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1. Romain Perchet 1. is the head of Investment Solutions in the Financial Engineering team at BNP Paribas Investment Partners in Paris, France. (romain.perchet{at}bnpparibas.com) 2. Raul Leote de Carvalho 1. is the co-head of Financial Engineering at BNP Paribas Investment Partners in

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 2001Empirical properties of asset returns: stylized facts and statistical issues 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

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