Search Results - subject:"Dispersion trading"

Tosi, Adriano - In: Essays in systematic asset pricing, (pp. 19-89). 2019

Persistent link: https://www.econbiz.de/10012103506

Volatility investing with variance swaps

Härdle, Wolfgang Karl; Silyakova, Elena - 2010

investigation of one of the most popular volatility strategies - dispersion trading. The strategy was implemented using variance …

Persistent link: https://www.econbiz.de/10010319195

Volatility Investing with Variance Swaps

Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

investigation of one of the most popular volatility strategies - dispersion trading. The strategy was implemented using variance …

Persistent link: https://www.econbiz.de/10008476280

Isolating the Systematic Component of a Single Stock’s (or Portfolio’s) Standard Deviation

Marshall, Cara - Department of Economics, Queens College - 2008

This paper revisits the roots of modern portfolio theory and the recognition that a stock’s (or a stock portfolio’s) risk can be decomposed into a systematic component and an unsystematic component, and, further, that only the former should contribute to expected return. However, instead of...

Persistent link: https://www.econbiz.de/10005800082

Studying the Properties of the Correlation Trades

Cayetano, Gea - Volkswirtschaftliche Fakultät, … - 2007

This thesis tries to explore the profitability of the dispersion trading strategies. We begin examining the different … methods proposed to price variance swaps. We have developed a model that explains why the dispersion trading arises and what … the main drivers are. After a description of our model, we implement a dispersion trading in the EuroStoxx 50. We analyze …

Persistent link: https://www.econbiz.de/10011107442