离差交易策略

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学术论文

Option-Implied Correlations and the Price of Correlation Risk

作者策略合理性

机构
  • Tilburg University
  • Tilburg University - Center for Economic Research (CentER)
  • Tilburg University - Tilburg University School of Economics and Management
  • INSEAD
  • INSEAD - Finance
  • Frankfurt School of Finance & Management

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:SPY、EFA、EWJ、GLD、TLT。再平衡:每月。Universe: SPY, EFA, EWJ, GLD, TLT. Parameters: rebalance=monthly.