Dynamic Asset Allocation Strategies Based on Unexpected Volatility
Author:
- Valeriy ZakamulinVZValeriy Zakamulin
- 1 January 2013
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
In this paper we document that at the aggregate stock market level the unexpected volatility is negatively related to expected future returns and positively relKeywords
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