Volatility Harvesting: Extracting Return from Randomness
Trading and Market Microstructure
2015-11-10 v3 Portfolio Management
Abstract
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 implicit risks.
Keywords
Cite
@article{arxiv.1508.05241,
title = {Volatility Harvesting: Extracting Return from Randomness},
author = {Jan Hendrik Witte},
journal= {arXiv preprint arXiv:1508.05241},
year = {2015}
}
Comments
10 Pages, 6 Figures