Low-Volatility or Low-Beta Research
Make 24bps a week trading skewness?
That is what Amaya, Christofferson, Jacobs, and Vasquez find. We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and [...]
Will My Risk Parity Strategy Outperform?
Will My Risk Parity Strategy Outperform? Robert M. Anderson, Stephen W. Bianchi, Lisa R. Goldberg A version of the paper can be found here. Abstract: [...]