Inverse-volatility Weighting of Volatility Assets
April 29, 2024 - Volatility Effects
Can long volatility investors improve performance of their portfolios by scaling positions inversely to some measure of volatility? In his March 2024 paper entitled “Volatility-Managed Volatility Trading”, Aoxiang Yang tests volatility risk premium (VRP) timing strategies that hold a volatility asset and a risk-free asset, with the weight of the former inverse to some measure… Keep Reading