IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2603.01298.html

Single-Asset Adaptive Leveraged Volatility Control

Author

Listed:
  • Nikhil Devanathan
  • Dylan Rueter
  • Stephen Boyd
  • Emmanuel Cand`es
  • Trevor Hastie
  • Mykel J. Kochenderfer
  • Arpit Apoorv
  • David Soronow
  • Igor Zamkovsky

Abstract

This paper introduces methodologies for constructing an index composed of a risky asset and a risk-free asset that achieves a fixed target volatility. We propose a simple proportional-control-based approach for setting the index weights, and we demonstrate in simulation that this method is more effective at consistently achieving the target volatility than an open-loop approach. We additionally present a modification to our proportional control approach that reduces index drawdowns in simulation.

Suggested Citation

  • Nikhil Devanathan & Dylan Rueter & Stephen Boyd & Emmanuel Cand`es & Trevor Hastie & Mykel J. Kochenderfer & Arpit Apoorv & David Soronow & Igor Zamkovsky, 2026. "Single-Asset Adaptive Leveraged Volatility Control," Papers 2603.01298, arXiv.org.
    • Handle: RePEc:arx:papers:2603.01298
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2603.01298
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2603.01298. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.