VIX Portfolios
The article proposes a portfolio management strategy that uses the VIX volatility index to determine leverage, leading to more stable weights, less rebalancing, and higher returns considering transaction costs.
Featured in No. 51 on 28 May 2024 ·
- Released
- 12 Jul 2023
- First featured
- No. 51 · 28 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 935
- Identifier
- SSRN 4840555
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