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Quantitative Finance · Glossaire

Qu'est-ce que « Volatility targeting » ?

Definition 19.4 Strategies I: Equities and Futures · Chapitre 19 — Trend Following

Volatility targeting sizes a position, or a whole portfolio, so that its forecast volatility equals a fixed target: the notional is the target divided by the forecast, recomputed as the forecast changes, usually with a cap on leverage.

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