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  1. 1 Economics and Business Review

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  1. 1 Grobelny P.

  2. 1 Kaczmarek T.

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  1. 1 2023

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How to fly to safety without overpaying for the ticket

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Kaczmarek T., Grobelny P.
Economics and Business Review
|
2023
|
vol. 9
|
issue 2
160-183
EN
For most active investors treasury bonds (govs) provide diversification and thus reduce the risk of a portfolio. These features of govs become particularly desirable in times of elevated risk which materialize in the form of the flight-to-safety (FTS) phenomenon. The FTS for govs provides a shelter during market turbulence and is exceptionally beneficial for portfolio drawdown risk reduction. However what if the unsatisfactory expected return from treasuries discourages higher bonds allocations? This research proposes a solution to this problem with Deep Target Volatility Equity-Bond Allocation (DTVEBA) that dynamically allocate portfolios between equity and treasuries.
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