The Economic Value of Volatility Timing
通过条件均值-方差分析，评估了波动率时机对短期投资者的价值，发现波动率时机策略优于无条件有效的静态组合，且结果对估计风险和交易成本稳健。
ABSTRACT Numerous studies report that standard volatility models have low explanatory power, leading some researchers to question whether these models have economic value. We examine this question by using conditional meanm‐variance analysis to assess the value of volatility timing to short‐horizon investors. We find that the volatility timing strategies outperform the unconditionally efficient static portfolios that have the same target expected return and volatility. This finding is robust to estimation risk and transaction costs.