Downside volatility and volatility typically comove but are not highly correlated during the most volatile times. The authors show that portfolios scaled by downside volatility expand the ex post mean–variance frontiers constructed using the original portfolios and volatility-managed portfolios and improve the Sharpe ratios of the ex post tangency portfolios. Their results follow from the empirical finding that downside volatility-managed portfolios are not spanned by the original portfolios or volatility-managed portfolios. Whereas downside volatility-managed portfolios expand the investment opportunity set, upside volatility-managed portfolios do not. TOPICS: Volatility measures, portfolio theory Key Findings • Downside volatility and volatility do not always comove. • Downside volatility-managed portfolios expand the investor’s opportunity set. • Upside volatility does not appear to help in portfolio management.

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下行波动率管理投资组合

下行波动率和波动率通常会平息，但在最不稳定的时期之间并不高度相关。作者表明，由下行波动率衡量的投资组合扩展了使用原始投资组合和波动率管理的投资组合构建的事后均值方差边界，并提高了事后相切组合的夏普比率。他们的结果来自经验发现，即波动率管理的下行组合资产没有被原始投资组合或波动率管理的组合所覆盖。下行波动率管理的投资组合会扩大投资机会，而上行波动率管理的投资组合不会。主题：波动率度量，投资组合理论主要发现•下行波动率和波动率并不总是能够缓解的。•下行波动率管理的投资组合扩大了投资者的机会集合。