Recent studies find mixed evidence on the performance of volatility-managed portfolios. We
show that strategies scaled by downside volatility exhibit significantly better performance …

A model and a method for studying the dynamics of the structure of a portfolio of projects for
the development of organizations, taking into account the resistance of information entropy …

This study compares a broad range of risk models for managing multi-asset portfolios. The
investment universe is extended to a range of systematic strategies with varying risk and …

We investigate the investability of commodity risk premia in China. Previously documented
standard momentum, carry and basis-momentum factors are not investable due to the …

Based on factor portfolios, we analyze the crash risk of factors in the Chinese stock market
and compare them with those in the US stock market. We construct three target volatility …

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 …

This paper investigates the effects of volatility scaling on factor portfolio performance and
factor timing. We focus on the four equity factors analyzed by Carhart (1997) and find that …

Generating the best returns commensurate with the risk appetite is very important for an
investor in capital markets. After determining the past returns and risk behavior of a stock …

The subject of the research is the optimization of the composition of the project portfolio
based on the entropy concept. The aim of the study is to experimentally test the model for …

Size, value, and momentum factors and industry portfolios in the Chinese A‐share stock
market tend to have higher returns in the months following high volatility. Due to this positive …