Risk–return-efficient target-volatility strategies

Guido Giese

Journal of Investment Strategies

Abstract: ABSTRACT The authors analyze existing investment strategies before deriving the optimal response functions that maximize the expected return and the expected risk-return ratio of the investment scheme, and give both a mathematical proof and numerical evidence that these optimized investment schemes improve both the performance and the risk-return profile compared with the underlying equity markets, ie, they are proven alpha generators.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ6:2349969

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