Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?

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Reference

Barroso, P., & Detzel, A. (2021). Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios? Journal of Financial Economics, 140(3), 744-767.

Publication type

Article in Scientific Journal

Persons

Organizational Units

  • Institute for Finance

DOI

http://dx.doi.org/https://doi.org/10.1016/j.jfineco.2021.02.009