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.

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
Online-Zugang:	Volltext
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