for position sizing, we need a volatility forecast for tomorrow. If predicted vol > our target vo…
for position sizing, we need a volatility forecast for tomorrow. If predicted vol > our target vol, we cut exposure.
classic approaches use EMA vol [1], or a blend with a long-term anchor (Carver-style).
but how good are these estimators compared to a benchmark model?
panel 3: https://t.co/DYdb9hF7Jy
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