Construction and Properties of Maximum Volatility Portfolio


We study a problem of constructing a portfolio using N assets that has the largest distributional distance from the index. Such a portfolio - among other interesting properties - maximizes risk neutral probability of... [ view full abstract ]


  1. Jan Vecer (Charles University)
  2. Robert Navrátil (Charles University)

Topic Areas

Computational Finance , Optimal Control , Trading Strategies


TH-P-SY » Volatility (14:30 - Thursday, 19th July, Synge)

Presentation Files

The presenter has not uploaded any presentation files.