How to choose the weights in practical dispersion trading

pedrogarcia · June 7th, 2007, 10:05 am

Hi,Does anyone know how to choose the weights? For example, in JP Correlation vehicles they give you two types of weights but they dont explain how they get them. Is a maximization problem? thanks!!!

jackchen09 · June 13th, 2007, 10:49 am

2 kind of ways to put on weights. 1 is vega neutral and another is theta neutral.vega neutral is just to put on the weights as the weights of components in the index.theta neutral is more complicated, basically, index vega exposure>component vega exposure because correlation < 1.

kokoon · July 5th, 2007, 9:48 am

Hi ,could you, Pedrogarcia post the JP paper about 'correlation vehicles'?regards,kokoon

Antonio · July 6th, 2007, 10:47 pm

You might be interested in the following paper : Variance Dispersion and Correlation Swaps, July 2007

kokoon · July 7th, 2007, 10:29 am

Hi Antonio,Yes this article seems interesting (at least reagrding its title), but I can't download it.You know why?kokoonakounamatata

kokoon · July 7th, 2007, 10:29 am

Hi Antonio,Yes this article seems interesting (at least reagrding its title), but I can't download it.You know why?kokoonakounamatata

Antonio · July 7th, 2007, 11:45 am

Yes, sorry, I just submitted it to SSRN yesterday night, so it should be available soon. I tried to download it here, but it didn't work. I can send it to you by email if you want. pm me your email address.

kokoon · July 7th, 2007, 2:37 pm

Antonio,I have just sent you a pm with my email adresskokoon