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Black-Litterman Model 1 Institutional Investors 1 Mean-Variance Criterion 1 Optimal Asset Allocation 1 S&P 500 1 SPY ETF 1 VIX Futures 1
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Alexander, Carol 1 Korovilas, Dimitris 1
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Henley Business School, University of Reading 1
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ICMA Centre Discussion Papers in Finance 1
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The Hazards of Volatility Diversification
Alexander, Carol; Korovilas, Dimitris - Henley Business School, University of Reading - 2011
Recent research advocates volatility diversification for long equity investors. It can even be justified when short-term expected returns are highly negative, but only when its equilibrium return is ignored. Its advantages during stock market crises are clear but we show that the high...
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