Volatility Views 47: How Dynamic Volatility Can Reshape Your Portfolio
Volatility Views 47:\xa0 How Dynamic Volatility Can Reshape Your Portfolio\n
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Volatility Review:\xa0 VIX review, with interesting corresponding elements relative to VIX and VIX skew. Monday massive overreaction to the market rally. NASDAQ vol review, driven by AAPL, which is slowing down a bit.\xa0 \n
Volatility Viewpoint: Mark, Bob, and Mark are joined by Peter Christoffersen, Professor of Finance, Rotman School of Management at the University of Toronto, and author of Elements of Financial Risk Management and a chapter in the forthcoming Handbook of Economic Forecasting.\xa0\xa0 Prof. Christoffersen discusses dynamic volatility, the Sharpe ratio, and practical applications for the average investor.\xa0 Mark asks Prof. Christoffersen whether it's possible to have a truly diversified portfolio without having some kind of volatility asset.\xa0 He also discusses his research on skew and its impact on the underlying instrument.\xa0 \n
Crystal Ball: Looking deep into the murky ether of the future of volatility, Mark and Mark pontificate on the contango environment of VIX futures, with Sebastian seeing VIX staying between 14 and 17. Will AAPL vol come in?\xa0 As AAPL goes, so goes the NASDAQ. There might be an increase in volatility post-Easter, with the beginning of earnings season.