and volatility regimes. Using cointegrated price data, it is shown that increasing the number of assets in a portfolio … supports the proftability of the HFRA in an up-trend and reduces the potential loss of the HFRA in a down-trend in a high-volatility … environment. For low-volatility regimes, although increasing portfolio size marginally enhances the HFRA's proftability, the …

This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …) events to construct a linear system where feasible solutions represent an investor’s optimal volatility position. Significant …

of asset classes is critical, which, for the time being, remains an art rather than a formulaic exercise based on theory …

utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a …