Otwarty dostęp

Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor


Zacytuj

Asensio, I. O. (2013). The VIX-VIX futures puzzle. (Unpublished Paper). University of Victoria.Search in Google Scholar

Alexander, C., & Korovilas, D. (2011). The hazards of volatility diversification. (ICMA Centre Discussion Paper in Finance No. DP2011-04).10.2139/ssrn.1752389Search in Google Scholar

Alexander, C., & Korovilas, D. (2012). Understanding ETNs on VIX Futures. SSRN Electronic Journals. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=204306110.2139/ssrn.2043061Search in Google Scholar

Benartzi, S., & Thaler, R. H. (2001). Naive diversification strategies in defined contribution saving plans. American Economic Review, 91(1), 78-98.10.1257/aer.91.1.79Search in Google Scholar

Briere, M., Fermanian, J. D., Malongo, H., & Signori, O. (2012). Volatility strategies for global and country specific European investors. Bankers Markets and Investors: An Academic & Professional Review, 17-30.Search in Google Scholar

Caloiero, E., & Guidolin, M. (2017). Volatility as an alternative asset class: Does it improve portfolio performance?. (BAFFI CAREFIN Centre Research Paper No. 2017-63).Search in Google Scholar

CBOE. (2018). The CBOE Volatility Index VIX White Paper. Retrieved from http://www.cboe.com/micro/vix/vixwhite.pdfSearch in Google Scholar

DeMiguel, V., Garlapii, L., & Uppal, R. (2007). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. The Review of Financial Studies, 22(15), 1915-1953.Search in Google Scholar

Dondoni, A., Montagna, D., & Maggi, M. (2018). VIX Index Strategies: Shorting volatility as a portfolio enhancing strategy. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=310440710.2139/ssrn.3104407Search in Google Scholar

Fahling, E. J., Steurer, E., Schädler, T., & Volz, A. (2018). Next level in risk management? hedging and trading strategies of volatility derivatives using VIX futures. Journal of Financial Risk Management, 7(4), 442-459.10.4236/jfrm.2018.74024Search in Google Scholar

Israelsen, C., (2005). A refinement to the Sharpe ratio and information ratio. Journal of Asset Management, 5, 423-427. Retrieved from https://doi:10.1057/palgrave.jam.224015810.1057/palgrave.jam.2240158Search in Google Scholar

Jabłecki, J., Kokoszczyński, R., Sakowski, P., Ślepaczuk, R., & Wójcik, P. (2015). Volatility as an asset class: Obvious benefits and hidden risks. Warszawa: Peter Lang GmbH.10.3726/978-3-653-04787-5Search in Google Scholar

Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7, 77-91.Search in Google Scholar

Stanescu, S., & Tunaru, R. (2013). Investment strategies with VIX and VSTOXX futures. (Working Paper, University of Kent, No. 271).10.2139/ssrn.2351427Search in Google Scholar

Szado, E. (2009). VIX Futures and options: A case study of portfolio diversification during the 2008 financial crisis. The Journal of Alternative Investments, 12(2), 68-85.10.3905/JAI.2009.12.2.068Search in Google Scholar

Szado, E. (2019). Selling VIX futures and options for portfolio return enhancement. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=339076410.2139/ssrn.3390764Search in Google Scholar

Ślepaczuk, R., & Zakrzewski, G. (2008). VWIG20: The concept of volatility index for the Polish Equity Market. eFinanse 2008—special issue, 47-85.Search in Google Scholar

Ślepaczuk, R., & Zakrzewski, G. (2013). High-frequency and model-free volatility estimators. Saarbrücken: LAP LAMBERT Academic Publishing.Search in Google Scholar

eISSN:
2450-0097
Język:
Angielski
Częstotliwość wydawania:
4 razy w roku
Dziedziny czasopisma:
Business and Economics, Political Economics, other, Finance, Mathematics and Statistics for Economists, Econometrics