Portfolio Management Strategy using VIX
The research suggests a portfolio management strategy that adjusts leverage based on the implied volatility index (VIX), resulting in more stable weights, less rebalancing, and higher alphas when considering transaction costs.
Featured in No. 11 on 9 Aug 2023 · 20 days after release
- Released
- 20 Jul 2023
- First featured
- No. 11 · 9 Aug 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4534986
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