Expected Return & Volatility-Manged Portfolio
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DOI: 10.23977/ICEMGD2020.079
Corresponding Author
Yifan Yang
ABSTRACT
How to increase the investment return while holding the constant risk is long-time research for investors and academic finance economists to study. In this paper, we propose an expected return & revised portfolio by managing volatility, which can produce significant positive alphas and increase the Sharpe ratio, showing that our expected return & revised portfolio by managing volatility performs better than the volatility-managed portfolio produced by Alan Moreira and Tyler Muir[1].
KEYWORDS
Expected return, volatility, portfolio management