A Hedged Portfolio Risk Manager's Observations and Practical Applications
A Hedged Portfolio Risk Manager's Observations and Practical Applications is a scholarly work, published in 2018 in ''SSRN Electronic Journal''. The main subjects of the publication include business, risk management, portfolio, actuarial science, and volatility. The paper examines rescaled range analysis for detecting persistence, autocorrelation and mean reversion for the S&P 500 in highly volatile markets.