Modelling Volatility of Characteristics-sorted Portfolios.

      Аннотация: Constructed portfolios based on different fundamental characteristics are expected to have different returns and associated risk levels and also different degrees of volatility properties including clustering, persistence and asymmetric effect. Thus, style investing managers should care with volatility features of the characteristics-sorted portfolio so as to achieve optimal portfolios and risk management.

Ключевые слова: volatility, characteristics sorted portfolio, egyptian stock exchange