Posts

Showing posts from September, 2008

LongConvexity Strategy

Image
Using a risk-driven optimization scheme (see RaisePartner ) over a multi-class investment universe, LongConvexity quantitative model produces attractivity signals that are asymmetrically leveraged taking long gamma positions on the corresponding calls or puts options. Total maximal optional exposure remains below 20% of the invested capital - remaining exposure is short term European treasury.