Concepedia

Volatility Targeting

Volatility Targeting is a portfolio rebalancing strategy that adjusts asset allocations periodically to maintain a consistent level of portfolio volatility, typically by scaling risk exposure in response to changes in estimated asset volatility.

15

Publications

383

Citations

39

Authors

24

Institutions

Publications per year

2017–2026

8

Variants

Volatility Target Strategy

Parents

Publications

15

The Impact of Volatility Targeting

Campbell R. Harvey, Edward Hoyle, Russell Korgaonkar et al. · The Journal of Portfolio Management · 2018 · 64 citations

, , +15

Volatility-Managed Portfolio: <i>Does It Really Work?</i>

Fang Liu, Xiaoxiao Tang, Guofu Zhou · The Journal of Portfolio Management · 2019 · 49 citations

, , +16

A proof of the optimality of volatility weighting over time

Winfried G. Hallerbach · The Journal of Investment Strategies · 2012 · 42 citations

, , +17

Investment instruments with volatility target mechanism

Sergio Albeverio, Victoria Steblovskaya, Kai Wallbaum · Quantitative Finance · 2013 · 33 citations

, , +13

Predicting the Success of Volatility Targeting Strategies:<i>Application to Equities and Other Asset Classes</i>

Romain Perchet, Raul Leote de Carvalho, Thomas Heckel et al. · The Journal of Alternative Investments · 2015 · 27 citations

, , +17

1–5 of 15

Authors

39

  1. OV
    Otto Van Hemert

    Asser Institute, Netherlands

    4 publications · 103 citations

    4

    h-index

  2. CR
    Campbell R. Harvey

    Duke University, United States

    4 publications · 103 citations

    4

    h-index

  3. SR
    Sandy Rattray

    Duke University, United States

    2 publications · 83 citations

    2

    h-index

  4. AR
    Andre Rzym

    National Bureau of Economic Research, United States

    2 publications · 20 citations

    2

    h-index

  5. TD
    Teun Draaisma

    Duke University, United States

    2 publications · 20 citations

    2

    h-index

1–5 of 39

Institutions

24

  1. Duke University

    Durham, United States

    4 h-index

    4 publications

    103 citations

  2. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    3 publications

    39 citations

  3. Asser Institute

    The Hague, The Netherlands

    2 h-index

    8 publications

    116 citations

  4. UNSW Sydney

    Sydney, Australia

    1 h-index

    2 publications

    26 citations

  5. HEC Montréal

    Montreal, Canada

    1 h-index

    1 publications

    13 citations

  6. Federal Reserve Board of Governors

    Washington D.C., United States

    1 h-index

    3 publications

    66 citations

  7. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    1 h-index

    3 publications

    63 citations

  8. State Street (United States)

    Boston, United States

    1 h-index

    3 publications

    33 citations

1–8 of 24

Venues

  1. The Journal of Portfolio Management

    JPM · 4 publications · 143 citations

    4

    h-index

  2. SSRN Electronic Journal

    Repository · 3 publications · 48 citations

    3

    h-index

  3. Financial Analysts Journal

    FAJ · 2 publications · 44 citations

    2

    h-index

  4. Journal of Monetary Economics

    1 publications · 22 citations

    1

    h-index

  5. The Journal of Index Investing

    JII · 1 publications · 11 citations

    1

    h-index

1–5