TY - JOUR T1 - Managed Volatility Strategies: <em>Applications to</em> <br/> <em>Investment Policy</em> JF - The Journal of Portfolio Management SP - 27 LP - 39 DO - 10.3905/jpm.2013.40.1.027 VL - 40 IS - 1 AU - Frederick E. Dopfel AU - Sunder R. Ramkumar Y1 - 2013/10/31 UR - https://pm-research.com/content/40/1/27.abstract N2 - 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’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 ER -