Modernizing Volatility-Managed Strategies
研究发现波动率管理策略的表现与预测精度正相关，行业标准策略因隔日执行导致预测精度下降。作者提出缩短滞后的稳健框架，利用更及时信息提高预测精度，从而提升夏普比率和效用。
There is a positive relationship between the performance of volatility managed strategies and the accuracy of the volatility estimation—more-accurate forecasts result in higher Sharpe ratios. Industry-standard volatility managed strategies allow a full day between volatility estimation and execution. In other words, we estimate volatility after the close of <i>t</i> − 2, execute the trade market-on-close <i>t</i> − 1, and capture net profits on <i>t</i>. This full-day lag naturally degrades the forecast accuracy, potentially resulting in suboptimal Sharpe ratios. The authors propose a robust framework that shortens the lag, effectively achieving a more accurate forecast by incorporating more-current information in the prediction model. The result is higher Sharpe ratios, higher utility, and lower volatility of volatility.