Blar i Department of Economics and Business Administration på forfatter "Holst, Niklas"
-
Implied Volatility and Rebalancing Timing: Market cycles and the relationship between implied volatility indices and stock index returns.
Holst, Niklas; Rønning, Harald (Masteroppgave/UIS-SV-HH/2017;, Master thesis, 2017-06-14)This paper studies market timing based upon the level of the VIX and compares VIX based portfolio rotations with modern rebalancing practices. The thesis analyses the outcomes of the different rebalancing and trading ...