2 papers
q-fin.RM2019
Tracking VIX with VIX Futures: Portfolio Construction and Performance
Tim Leung, Brian Ward
We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate…
q-fin.MF2017
Dynamic Index Tracking and Risk Exposure Control Using Derivatives
Tim Leung, Brian Ward
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pat…