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Quantitative Finance Volume 13, 2013 - Issue 10: Themed Issue on Fund Management
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Investment instruments with volatility target mechanism

S. Albeverio Institut fuer Angewandte Mathematik, Universitaet Bonn, Endenicher Allee 60, D-53115, Bonn, Germany; HCM, SFB, 611, BiBoS, Germany; CERFIM (Locarno), Switzerland
,
V. Steblovskaya Bentley University, 175 Forest Str., Waltham, MA, 02452, USA
&
K. Wallbaum Allianz Global Investors Europe GmbH, Frankfurt a.M., GermanyCorrespondence[email protected]
Pages 1519-1528 | Received 02 Oct 2011, Accepted 09 May 2013, Published online: 07 Oct 2013

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Tri M. Hoang. (2022) Active portfolio management for the emerging and frontier markets: the use of multivariate time series forecasts. Cogent Economics & Finance 10:1.
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Cay Oertel. (2021) Volatility Targeting for U.S. Equity REITs: A Strategy for Minimizing Extreme Downside Risk?. Journal of Real Estate Portfolio Management 27:1, pages 63-77.
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Articles from other publishers (22)

Zefeng Bai, Victoria Steblovskaya & Kai Wallbaum. (2023) Improving Retirement Coverage Durability with Target Volatility Strategy for Changing Interest Rate Environment. Asia-Pacific Journal of Financial Studies.
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Luca Di Persio, Matteo Garbelli, Fatemeh Mottaghi & Kai Wallbaum. (2023) Volatility forecasting with hybrid neural networks methods for Risk Parity investment strategies. Expert Systems with Applications 229, pages 120418.
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Luca Di Persio, D. Mancinelli, Immacolata Oliva & K. Wallbaum. (2023) Time‐invariant portfolio strategies in structured products with guaranteed minimum equity exposure. Applied Stochastic Models in Business and Industry 39:6, pages 847-868.
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Valeriy Zakamulin. (2022) Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model. Risk Management 25:1.
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Luca Di Persio, Matteo Garbelli & Kai Wallbaum. (2021) Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis. Risks 9:2, pages 33.
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Luca Di Persio, Immacolata Oliva & Kai Wallbaum. (2020) Options on constant proportion portfolio insurance with guaranteed minimum equity exposure. Applied Stochastic Models in Business and Industry 37:1, pages 98-112.
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Zefeng Bai & Kai Wallbaum. (2020) Optimizing Pension Outcomes Using Target‐Driven Investment Strategies: Evidence from Three Asian Countries with the Highest Old‐Age Dependency Ratio*. Asia-Pacific Journal of Financial Studies 49:4, pages 652-682.
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Sergio Albeverio, Victoria Steblovskaya & Kai Wallbaum. (2019) The volatility target effect in investment-linked products with embedded American-type derivatives. Investment Management and Financial Innovations 16:3, pages 18-28.
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Sergio Albeverio, Victoria Steblovskaya & Kai Wallbaum. (2017) The volatility target effect in structured investment products with capital protection. Review of Derivatives Research 21:2, pages 201-229.
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Zura Kakushadze & Juan Andrés SerurZura Kakushadze & Juan Andrés Serur. 2018. 151 Trading Strategies. 151 Trading Strategies 121 130 .
Simone Cirelli, Sebastiano Vitali, Sergio Ortobelli Lozza & Vittorio Moriggia. (2017) A conservative discontinuous target volatility strategy. Investment Management and Financial Innovations 14:2, pages 176-190.
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Valeriy Zakamulin. (2016) Optimal Dynamic Portfolio Risk Management. The Journal of Portfolio Management.
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Valeriy Zakamulin. (2016) Optimal Dynamic Portfolio Risk Management. The Journal of Portfolio Management 43:1, pages 85-99.
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Valeriy Zakamulin. (2015) A Test of Covariance-Matrix Forecasting Methods. The Journal of Portfolio Management 41:3, pages 97-108.
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Valeriy Zakamulin. (2014) Dynamic Asset Allocation Strategies Basedon Unexpected Volatility. The Journal of Alternative Investments 16:4, pages 37-50.
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Simon Pleines & Frank Lehrbass. (2021) Backtesting von volatilitaetsgesteuerten Aktienportfolios (Backtesting of Volatility Targeting Strategies). SSRN Electronic Journal.
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Elisa Mastrogiacomo. (2018) A Note on Asymptotic Expansion for Option Pricing with Interacting Assets. SSRN Electronic Journal.
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Hassan Jawaid. (2016) An Analysis of Guaranteed Lifetime Withdrawal Benefits Linked to Target Volatility Portfolio. SSRN Electronic Journal.
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Hassan Jawaid. (2015) Pricing and Hedging of the European Option Linked to Target Volatility Portfolio. SSRN Electronic Journal.
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Valeriy Zakamulin. (2015) Optimal Dynamic Portfolio Risk Management. SSRN Electronic Journal.
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Valeriy Zakamulin. (2015) Dynamic Volatility Weighting in the Presence of Transaction Costs. SSRN Electronic Journal.
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Valeriy Zakamulin. (2014) The Role of Covariance Matrix Forecasting Method in the Performance of Minimum-Variance Portfolios. SSRN Electronic Journal.
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