Browsing by Author "Basic, Amir"
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- Risk-managed portfoliosPublication . Basic, Amir; Faias, José Afonso de Carvalho TavaresRisk-managed portfolios that conditions exposure based on past realized volatility increases Sharpe ratios and yields high alphas that persists even after transaction costs. I find this for the market, value, momentum, profitability, investment, return on equity, and betting-against-beta. I offer a strategy that practically eliminates exposure to crashes and that can be easily implemented in real-time. As the strategy takes less risk during recessions it rules out classical risk-based explanations and challenges modelling of time-varying expected returns.