Showing 1 - 10 of 11,939
Persistent link: https://www.econbiz.de/10001499150
Persistent link: https://www.econbiz.de/10000878865
The paper analyzes the robustness of stable volatility strategies, i.e. strategies in which the portfolio weight of the stock is inversely proportional to its local volatility. These strategies are optimal for a CRRA investor if the stock follows a diffusion process, the expected excess return...
Persistent link: https://www.econbiz.de/10013031633
Persistent link: https://www.econbiz.de/10000882132
Persistent link: https://www.econbiz.de/10000882179
Persistent link: https://www.econbiz.de/10000882718
Persistent link: https://www.econbiz.de/10000883244
Persistent link: https://www.econbiz.de/10000883315
Persistent link: https://www.econbiz.de/10000883676