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How to choose the weights in practical dispersion trading
Posted: June 7th, 2007, 10:05 am
by pedrogarcia
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!!!
How to choose the weights in practical dispersion trading
Posted: June 13th, 2007, 10:49 am
by jackchen09
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.
How to choose the weights in practical dispersion trading
Posted: July 5th, 2007, 9:48 am
by kokoon
Hi ,could you, Pedrogarcia post the JP paper about 'correlation vehicles'?regards,kokoon
How to choose the weights in practical dispersion trading
Posted: July 6th, 2007, 10:47 pm
by Antonio
You might be interested in the following paper : Variance Dispersion and Correlation Swaps, July 2007
How to choose the weights in practical dispersion trading
Posted: July 7th, 2007, 10:29 am
by kokoon
Hi Antonio,Yes this article seems interesting (at least reagrding its title), but I can't download it.You know why?kokoonakounamatata
How to choose the weights in practical dispersion trading
Posted: July 7th, 2007, 10:29 am
by kokoon
Hi Antonio,Yes this article seems interesting (at least reagrding its title), but I can't download it.You know why?kokoonakounamatata
How to choose the weights in practical dispersion trading
Posted: July 7th, 2007, 11:45 am
by Antonio
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.
How to choose the weights in practical dispersion trading
Posted: July 7th, 2007, 2:37 pm
by kokoon
Antonio,I have just sent you a pm with my email adresskokoon