Flirting with Models

The Research Library of Newfound Research

Tag: tail risk

Tail Hedging

In this research note we demonstrate that holding to expiration is not a required feature of a successful tail hedging program.

Hedge Hunting: Wrangling the VIX

Can ETF instruments like VXX and XIV be combined to get the benefits of spot VIX exposure without all the negative roll yield of futures?
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