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A Multifactor Perspective on Volatility-Managed Portfolios
5May
Finance

A Multifactor Perspective on Volatility-Managed Portfolios

5 May 2021 | 4:30 p.m. – 6:00 p.m.
Zoom
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Speaker:

Prof. Raman Uppal
Professor of Finance
EDHEC Business School

 

Abstract:

One of the most fundamental results in finance is that return is related to risk. Moreira and Muir (2017) cast doubt upon this by showing that one can time equity risk factors by scaling them by the inverse of their variance. However, Cederburg, O’Doherty, Wang, and Yan (2020) show that volatility-managed portfolios do not outperform their unmanaged counterparts out of sample and Barroso and Detzel (2020) show that they do not survive transaction costs. We show that a conditional mean-variance multifactor portfolio whose weights on each factor vary with market volatility outperforms even out of sample and net of transaction costs both unconditional multifactor portfolios and volatility-managed individual-factor portfolios. Our conditional multifactor portfolio performs particularly well during periods of financial turmoil, such as the Early 2000s Recession and the Great Recession. The success of this strategy, even out of sample and net of transaction costs, raises questions about the relation between risk and return.

 

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Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18Jun
Economics | Seminar
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18 June 2025 | 2:15 PM - 3:30 PM
KK 910 K. K. Leung Building, HKU
Prof. Katsumi Shimotsu
About Speaker
Prof. Raman Uppal

Professor of Finance, EDHEC Business School

A Multifactor Perspective on Volatility-Managed Portfolios
5 May 20214:30 p.m. – 6:00 p.m.
Zoom
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