We consider weighted variance contracts in which the realized variance is subjected to a spot-dependent weighting function, a notable example of which is the corridor variance swap. Such payouts admit ...

The Journal of Finance, Vol. 41, No. 5 (Dec., 1986), pp. 1051-1068 (18 pages) Duality theory is employed to provide necessary and sufficient conditions for portfolios on the minimum-variance frontier ...

Volatility is the core measure of financial risk, but not all volatility calculations are created equal. Simple historical variance treats all past returns the same, which can make it slow to reflect ...