Formation Fi: Velocity of Volatility and Variance (VVV)

Crash Protection For Crypto-DeFi Portfolios Formation.Fi Just now¬∑10 min read Executive Summary We propose a novel portfolio weighting technique that considers certain stylized facts about the financial markets. During market crashes, assets tend to have higher correlations. An additional observation is that volatilities tend to be higher during market crashes. We adjust the volatilities and … Read more