Система будет остановлена для регулярного обслуживания. Пожалуйста, сохраните рабочие данные и выйдите из системы.

Browsing Graduate School of Business by Author "6708ee8a-4b2f-4144-9b87-c957512463f4"

Now showing items 1-1 of 1

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 ...