---
title: VIX Portfolios
url: https://www.ml-quant.com/papers/ssrn/4840555/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4840555
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4840555
featured: 2024-05-28
citations: unknown
topic: Derivatives & Volatility
---


# 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.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4840555
- Identifier: SSRN 4840555
- Released: 2023-07-12
- First featured: Quant Letter No. 51 (2024-05-28): https://www.ml-quant.com/issues/2024-05-28/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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