Investment instruments with volatility target mechanism

Sergio A Albeverio · Victoria Steblovskaya · Kai Wallbaum

30 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

Supported by the Hausdorff Institute of Mathematics (Bonn) and by the Summer Research Grant (Bentley University). Over the last years, extreme volatility levels are observed in global equity market...

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References

1997Martingale Methods in Financial Modelling 1993The Informational Content of Implied Volatility 1988Dynamic Strategies for Asset Allocation 1992Theory of constant proportion portfolio insurance 2001Stochastic Optimization: Algorithms and Applications 2006VIX futures 2005Portfolio Insurance Strategies: OBPI versus CPPI

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2015A Test of Covariance-Matrix Forecasting Methods

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