How to Sell Volatility
I want to design systematic trading strategies that harvest the intermediary risk premium. In what follows, I describe four strategies for trading systematic risk. One can always rescale bets to achieve any desired level of returns by bearing greater risk. The risk of poor returns can be proxied by the volatility of the portfolio returns. Risk premium, …
Keep reading with a 7-day free trial
Subscribe to Policy Tensor to keep reading this post and get 7 days of free access to the full post archives.