Replication package for “A Multifactor Perspective on Volatility-Managed Portfolios”
Description
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Replication files for ``A Multifactor Perspective on Volatility-Managed Portfolios'' by Victor DeMiguel, Alberto Martin-Utrera, and Raman Uppal. Forthcoming in The Journal of Finance %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
Files
Steps to reproduce
To replicate the main analysis in the paper, please run the Matlab code RunAllCodes.m, located in the "Code" subfolder. RunAllCodes.m uses a number of subroutines that are all included in the Code folder and necessary to replicate the analysis in the main body of the manuscript. Notice that the replicated tables and figures are not always identical to those reported in the paper. The reason is that in order to protect the proprietary nature of the data, in some cases, we have added noise to the data. We include a file in the "Manuscript" folder named "DMU-JF-Replication.tex". This file compiles all the figures and tables in the main body of the manuscript. The figures and tables in the main body of the manuscript are saved automatically after running the code "RunAllCodes.m" in the subfolders "Figures" and "Tables", respectively, which are both located inside the "Manuscript" folder. Some of the .eps and .tex files for the figures and tables are saved with a file name that contains the date of the day on which the code was run. Please, edit the file names in "DMU-JF-Replication.tex" before compiling. Factor returns are obtained from the authors' website. We are grateful to Wayne Chang for sharing the code to construct the Fama-French factors and to Kewei Hou, Chen Xue, and Lu Zhang for help in constructing the ROE and IA factors.