The target volatility model uses dynamic asset allocation to achieve
a stable level of volatility.
Not exact matches
Using new transaction -
level data, authors Leonardo Bartolini, Svenja Gudell, Spence Hilton and Krista Schwarz show that trade volume in the federal funds market exhibits large swings over the course
of the day while prices remain fairly
stable, with rate
volatility rising sharply only near the end
of the trading day.
Ben Dor, Dynkin, Hyman, Houweling, Leeuwen, and Penninga (2007) demonstrate that spread changes are proportional to the
level of spreads, i.e., the
volatility of percentage spread change is much more
stable than absolute spread
volatility, and therefore they propose that the better measure
of exposure to credit risk is not the contribution to spread duration, but the contribution to DTS.
But most find it difficult to tolerate that
level volatility in their fixed income, which is after all supposed to be the
stable part
of a portfolio.