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Harvesting Volatility Assume a stock price doubles or halves every day, with equal probability You start off with $:1 50% invested in the stock 50%

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Harvesting Volatility Assume a stock price doubles or halves every day, with equal probability You start off with $:1 50% invested in the stock 50% invested in cash At the end of every day, no matter how the stock price changes, rebalance your portfolio to be exactly 50% invested in the stock and 50% invested in cash How does this strategy perform over N days

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