@article {Dopfel27, author = {Frederick E. Dopfel and Sunder R. Ramkumar}, title = {Managed Volatility Strategies: Applications to Investment Policy }, volume = {40}, number = {1}, pages = {27--39}, year = {2013}, doi = {10.3905/jpm.2013.40.1.027}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Managed volatility strategies adjust asset allocation dynamically in anticipation of, or in response to extreme market volatility. This implies that during periods of market stress, investors can rebalance to a risk budget as an investment policy option, rather than strictly adhering to current practices that rebalance back to fixed portfolio weights. We measure the advantages of managed volatility with a multi-period model and find that the benefits increase with an investor{\textquoteright}s ability to forecast market volatility beyond historical relationships. The practical application for investors is that a more flexible and dynamic investment policy may result in better investment outcomes.TOPICS: Volatility measures, portfolio construction, portfolio theory}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/40/1/27}, eprint = {https://jpm.pm-research.com/content/40/1/27.full.pdf}, journal = {The Journal of Portfolio Management} }