Blar i School of Business and Law på forfatter "Årsland, Simen Lilletvedt"
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Return Premiums in Volatility-Managed Portfolios - Empirical evidence from Norway and international equity markets
Alme, Sindre; Årsland, Simen Lilletvedt (Master thesis, 2022)We scale portfolios by the inverse of their previous month’s realized variance to create volatility-managed portfolios. Our managed portfolios reduce market exposure when volatility is high and vice versa. We analyse the ... -
Return Premiums in Volatility-Managed Portfolios - Evidence from Norway and international equity markets
Årsland, Simen Lilletvedt; Alme, Sindre (Master thesis, 2022)We scale portfolios by the inverse of their previous month’s realized variance to create volatility-managed portfolios. Our managed portfolios reduce market exposure when volatility is high and vice versa. We analyse the ...