Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches
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DOI: 10.1016/j.ribaf.2017.12.004
Abstract: We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016).… read more here.
Keywords: volatility; risk adjusted; momentum strategies; volatility scaling ... See more keywords