Volatility measures
- Harvesting Macroeconomic Risk PremiaKyriakos Chousakos and Daniel GiamouridisThe Journal of Portfolio Management May 2020, 46 (6) 93-109; DOI: https://doi.org/10.3905/jpm.2020.1.149
- Fact and Fiction about Low-Risk InvestingRon Alquist, Andrea Frazzini, Antti Ilmanen and Lasse Heje PedersenThe Journal of Portfolio Management May 2020, 46 (6) 72-92; DOI: https://doi.org/10.3905/jpm.2020.1.146
- How Do the Volatilities of Rates Depend on Their Level? The “Universal Relationship” RevisitedRiccardo Rebonato and Amir El AouadiThe Journal of Fixed Income March 2021, 30 (4) 17-31; DOI: https://doi.org/10.3905/jfi.2021.1.110
- Forecasting Long-Horizon Volatility for Strategic Asset AllocationMirko Cardinale, Narayan Y. Naik and Varun SharmaThe Journal of Portfolio Management February 2021, 47 (4) 83-98; DOI: https://doi.org/10.3905/jpm.2021.1.212
- Managing Portfolio VolatilityMichael Stamos and Thomas ZimmererThe Journal of Portfolio Management February 2021, 47 (4) 99-109; DOI: https://doi.org/10.3905/jpm.2021.1.207
- The Impact of Volatility TargetingCampbell R. Harvey, Edward Hoyle, Russell Korgaonkar, Sandy Rattray, Matthew Sargaison and Otto Van HemertThe Journal of Portfolio Management October 2018, 45 (1) 14-33; DOI: https://doi.org/10.3905/jpm.2018.45.1.014
- Shorting Leveraged ETF PairsChristopher Hessel, Jouahn Nam, Jun Wang, Cunyu Xing and Ge ZhangThe Journal of Trading March 2018, 13 (2) 69-79; DOI: https://doi.org/10.3905/jot.2018.13.2.069
- Modelling the Shiller CAPE Ratio, Mean Reversion, and Return ForecastsOtto WaserThe Journal of Portfolio Management January 2021, 47 (3) 155-171; DOI: https://doi.org/10.3905/jpm.2021.1.210
- Model Risk in Risk Models: Quantifying Statistical Uncertainty in Active RiskKevin KhangThe Journal of Portfolio Management January 2021, 47 (3) 51-65; DOI: https://doi.org/10.3905/jpm.2021.47.3.051
- The Impact of Public Announcements and Private Analyses on US Treasury BondsOnem OzocakThe Journal of Investing January 2021, 30 (2) 78-92; DOI: https://doi.org/10.3905/joi.2020.1.165
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