Going through some pension presentation slides and can’t help but think: probability space ≠ payoff spacepic.twitter.com/kqa2WKGa6A
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Hmm interesting, the downward spikes look quite a bit bigger than the upward spikes, I wonder if that means anything. Ehh probably not important.
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VRP harvesting Is a positive EV strategy In the indices if you soft hedge units of negative convexity on the book, and have a tactical risk signal(<110 VVIX). But would a Simphalopod know.
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But I will admit most of these funds/firms. Blindly harvest VRP and people get surprised they blow up, obviously when you’re near a fire(units of negative convexity.) You can't just stand there and do nothing, you gotta manage it.
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