Exploiting VIX Distortions
Long-term exposure to high market volatility can lead to underestimation of volatility, creating predictable stock returns; a strategy capitalizing on this can beat a standard index portfolio.
Featured in No. 61 on 15 Aug 2024 ·
- Released
- 23 Nov 2022
- First featured
- No. 61 · 15 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- Identifier
- RePEc:taf:ufajxx:v:78:y:2022:i:2:p:79-95
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