Volatility Harvesting: Extracting Return from Randomness

Jan Hendrik Witte

Papers from arXiv.org

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.

Date: 2015-08, Revised 2015-11
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1508.05241

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