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Robustness of Stable Volatility Strategies

Branger, Nicole - 2015

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 is proportional to its volatility, and the hedging demand is zero. We …

Persistent link: https://www.econbiz.de/10013031633

The effect of introducing a non-redundant derivative on the volatility of stock-market returns

Bhamra, Harjoat Singh; Uppal, Raman - 2006

Persistent link: https://www.econbiz.de/10003353062

Adaptive learning and equilibrium selection in experimental coordination games : an ARCH(1) approach

Broseta, Bruno - In: Games and economic behavior 32 (2000) 1, pp. 25-50

Persistent link: https://www.econbiz.de/10001499150

Reverse engineering financial markets with majority and minority games using genetic algorithms

Wiesinger, Judith; Sornette, Didier; Satinover, Jeffrey - 2010

Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. By optimizing the...

Persistent link: https://www.econbiz.de/10003973139

Optimal Trade Sizing in a Game with Favourable Odds : The Stock Market

Haghani, Victor - 2016

In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...

Persistent link: https://www.econbiz.de/10012978604