Alberto Dondoni

Banca IMI

Corso Matteotti 6

20121 Milano, 20100

Italy

IntesaSanpaolo Group

Corso Matteotti 6

Milano, 20121

Italy

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VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Number of pages: 49 Posted: 25 Jan 2018
Alberto Dondoni, Dennis Marco Montagna and Mario Maggi
Banca IMI, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
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Abstract:

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VIX Index, VIX Futures, equity volatility, trading, asset allocation, cross-correlation, portfolio enhancement