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VIX Futures, Volatility ETNs, VXX, TVIX, Roll Cost, Exchange-Traded Notes, Hedging, Portfolio Performance
Black-Litterman Model, Institutional Investors, Mean-Variance Criterion, Optimal Asset Allocation, SPY ETF, VIX Futures
Black–Litterman Model, mean–variance criterion, optimal asset allocation, SPY, roll cost, VIX futures, VXX, volatility ETNs
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: FMII.
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VIX, VSTOXX, volatility futures, volatility ETPs, roll yield
Exchange-traded notes, constant-maturity VIX futures, roll yield, manipulation-proof performance measure
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