Tuesday, October 2nd @ 11:00-12:30 PM
Predicting Portfolio Return Volatility at Median Horizons
Dangxing Chen, UC Berkeley
Commercially available factor models provide good predictions of short-horizon (e.g. one day or one week) portfolio volatility, based on estimated portfolio factor loadings and responsive estimates of factor volatility. These predictions are of significant value to certain short-term investors, such as hedge funds. However, they provide limited guidance to long-...