Title:

Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?

Authors:

Pedro Barroso (U Católica Portuguesa, UNSW Sydney )
Andrew Detzel (U of Denver)

Journal:

Journal of Financial Economics

Year:

2021

Volume:

140

Number:

3

Pages:

744-767

JEL code:

G11 - Portfolio Choice; Investment Decisions

DOI:

10.1016/j.jfineco.2021.02.009