Author(s)

Yifan Yang

Corresponding Author

Yifan Yang

ABSTRACT

How to increase the investment return while holding the constant risk is long-time research for investors and academic finance economists to study. In this paper, we propose an expected return & revised portfolio by managing volatility, which can produce significant positive alphas and increase the Sharpe ratio, showing that our expected return & revised portfolio by managing volatility performs better than the volatility-managed portfolio produced by Alan Moreira and Tyler Muir[1].

KEYWORDS

Expected return, volatility, portfolio management