Journal of Investment Strategies

Welcome to the March 2018 issue of The Journal of Investment Strategies. In this issue we have four papers; two research papers and two Investment Strategy Forum pieces.

The first paper is “Statistics of VIX futures and their applications to trading volatility exchange-traded products” by M. Avellaneda and A. Papanicolaou. In this paper, the authors study the dynamics of Chicago Board Options Exchange volatility index (VIX) futures and exchange-traded notes (ETNs)/exchange-traded funds (ETFs).

Our second paper, “A risk-based approach to construct multi-asset portfolio solutions” by Peter Warken and Christian Hille. The authors in this paper introduce a robust, risk-based optimization routine to create allocations that are truly diversified, with less extreme weights and risk allocations, as well as a higher number of uncorrelated exposures.

“The Kelly criterion in portfolio optimization: a decoupled problem” by Zachariah Peterson is our third paper and examines how the Kelly criterion can be implemented into a portfolio optimization model that combines risk and return into a single objective function using a risk parameter.

Finally, our fourth paper is “Reflections on recent volatility” by Euan Sinclair. This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as to what might happen in the volatility trading space as a result.

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