Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market

Zirui Guo, Yihan Li () and Guangyan Jia
Additional contact information
Zirui Guo: Shandong University
Yihan Li: Shandong University
Guangyan Jia: Shandong University

Empirical Economics, 2024, vol. 66, issue 3, No 9, 1222 pages

Abstract: Abstract This paper attempts to extend the approach of quantitative investment and provide investors with suggestions about volatility timing. Based on the volatility-managed portfolios strategy, we propose two volatility–tail risk-managed portfolios strategies by combining the volatility and tail risk forecasting methods. We subject seven indices in China’s stock market to verify the performance of these two strategies. The empirical results show that volatility–tail risk-managed portfolios yield better performance than buy-and-hold portfolios and volatility-managed portfolios in terms of annualized average returns, Sharpe ratio, maximum drawdown and Calmer ratio. Furthermore, we find that the effectiveness also depends on the volatility clustering of portfolios and the selection of investment periods.

Keywords: Volatility timing; Quantitative investment; Volatility-managed portfolios strategy; Volatility–tail risk-managed portfolios; Volatility forecasting (search for similar items in EconPapers)
JEL-codes: C53 G11 G17 G32 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00181-023-02493-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02493-9

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-023-02493-9

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().