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USE OF OPTIONS TO INCREASE AND REDUCE VOLATILITY IN THE MARKET PORTFOLIO BASED ON PAST VOLATILITY

Mantilla Sanchez, Pedro; Najib, Fayez (Nazarbayev University, Graduate School of Business, 2021-12-21)

This paper verifies under realistic trading conditions the results in Moreira and Muir (2017) which shows that leveraging/deleveraging the index portfolio according to its past volatility with the use of index options ...