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Quantitative Finance · Begrippenlijst

Wat is Volatility targeting?

Definition 19.4 Strategies I: Equities and Futures · Hoofdstuk 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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