P.O. Box 242
Reading RG6 6BA
University of Reading - ICMA Centre
in Total Papers Downloads
in Total Papers Citations
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
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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