Toktassinova, Elvira; Kumisbay, Danira; Sekerkhanova, Madina; Zhumazhanova, Laura
(Nazarbayev University, Graduate School of Business, 2021-12-21)
This study assesses whether the strategy Moreira and Muir (2017) on volatility-managed portfolios generates high returns when applied on the U.S. stock market. In our owrk we replicate the methodology of Moreira and Muir ...