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Article

Dynamic Asset Allocation Strategies Based
on Unexpected Volatility

Valeriy Zakamulin
The Journal of Alternative Investments Spring 2014, 16 (4) 37-50; DOI: https://doi.org/10.3905/jai.2014.16.4.037
Valeriy Zakamulin
is a professor of finance, School of Business and Law at the University of Agder, Kristiansand, Norway.
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  • For correspondence: valeri.zakamouline@uia.no
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Abstract

The author documents that at the aggregate stock market level, unexpected volatility is negatively related to expected future returns, and positively related to future volatility. The author demonstrates how the predictive ability of unexpected volatility can be utilized in dynamic asset allocation strategies that deliver a substantial improvement in terms of risk-adjusted performance as compared to traditional buy-and-hold strategies. In addition, the author shows that active strategies based on unexpected volatility outperform the popular active strategy with a volatility target mechanism, and have some edge over the popular market timing strategy with a 10-month simple moving average rule.

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The Journal of Alternative Investments: 16 (4)
The Journal of Alternative Investments
Vol. 16, Issue 4
Spring 2014
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Dynamic Asset Allocation Strategies Based
on Unexpected Volatility
Valeriy Zakamulin
The Journal of Alternative Investments Mar 2014, 16 (4) 37-50; DOI: 10.3905/jai.2014.16.4.037

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Dynamic Asset Allocation Strategies Based
on Unexpected Volatility
Valeriy Zakamulin
The Journal of Alternative Investments Mar 2014, 16 (4) 37-50; DOI: 10.3905/jai.2014.16.4.037
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  • Article
    • Abstract
    • DATA
    • MEASURING ACTUAL AND UNEXPECTED VOLATILITY
    • PREDICTIVE ABILITIES OF UNEXPECTED VOLATILITY
    • PERFORMANCE OF DYNAMIC ASSET ALLOCATION STRATEGIES
    • CONCLUSION
    • ACKNOWLEDGEMENTS
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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