Volatility Harvesting: Extracting Return from Randomness

Volatility Harvesting: Extracting Return from Randomness

Studying binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real‐world data to confirm the observed model phenomena while also highlighting the implicit risks.

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Bibliographische Detailangaben
Veröffentlicht in:Wilmott (London, England) England), 2016-05, Vol.2016 (83), p.60-67
1. Verfasser: Witte, J. H.
Format: Artikel
Sprache:eng
Schlagworte:
Economics
Finance
Parrondo's paradox
rebalancing bonus
Risk management
Shannon's Demon
Studies
volatility harvesting
volatility pumping
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Beschreibung
Zusammenfassung:Studying binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real‐world data to confirm the observed model phenomena while also highlighting the implicit risks.
ISSN:1540-6962
1541-8286
DOI:10.1002/wilm.10511