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Indexing Volatility Risk Control

Authors: David Krein; Jeffrey Fernandez;

Indexing Volatility Risk Control

Abstract

Volatility risk control strategies have become increasingly popular in this post-financial crisis environment where diversification as the sole form of portfolio risk management has been put under the microscope. The recent anomaly that investors may possibly reduce their overall portfolio volatility without sacrificing return has led to the success of several low volatility index launches over the past couple of years. This article studies the rapid evolution of volatility risk control indexes intended to gauge portfolio risk by targeting desired risk tolerances.

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    popularity
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
8
Top 10%
Average
Average
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