We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of returns both in the case of single assets and in the case of asset portfolios. The R. parameters of the Heston model are estimated from observed market prices using a simple...

Smart beta strategies across economic regimes seek to address inefficiencies created by market-based indices, thereby enhancing portfolio returns above traditional benchmarks. Our goal is to develop a strategy for re-hedging smart beta portfolios that shows the connection between multi-factor...