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Home>Rolling Tail Hedges: The Dynamic Tradeoff between Cost and Potency

Rolling Tail Hedges: The Dynamic Tradeoff between Cost and Potency

Perspectives Content Submission

Fri, 28 Dec 2012

In our hypothetical illustration, rebalancing tail risk hedges more frequently than once a year offers some benefit under all volatility curves (ignoring transaction costs) – but the benefits are greatest when the volatility curve is flat or steep. Some of the benefits of rebalancing can quickly di

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