Volatility as an Alternative Asset Class: Does It Improve Portfolio Performance?
We investigate the potential role of Exchange Traded Products (Notes) as vehicles to trade volatility (here proxied by the VIX index) as an asset class in a fully optimizing asset allocation framework, subject to long-only constraints. In back-testing, recursive exercises based on an expanding windo...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2017-12-01
|
| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | http://www.aimspress.com/QFE/article/1750/fulltext.html |