https://scholars.lib.ntu.edu.tw/handle/123456789/414494
標題: | The diversification effects of volatility-related assets | 作者: | Chen H.-C. Chung S.-L. Ho K.-Y. |
關鍵字: | Investment opportunity;Mean-variance analysis;VIX | 公開日期: | 2011 | 卷: | 35 | 期: | 5 | 起(迄)頁: | 1179-1189 | 來源出版物: | Journal of Banking and Finance | 摘要: | We examine whether investors can improve their investment opportunity sets through the addition of volatility-related assets into various groupings of benchmark portfolios. By first analyzing the weekly returns of three VIX-related assets over the period 1996-2008 and then applying mean-variance spanning tests, we find that adding VIX-related assets does lead to a statistically significant enlargement of the investment opportunity set for investors. Our empirical findings are robust and have two implications. First, there is scope for the further development of financial products relating to volatility indexes. Second, hedge fund managers can utilize VIX futures contracts or VIX-squared portfolios to enhance their equity portfolio performance, as measured by the Sharpe ratio. ? 2010 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414494 | ISSN: | 03784266 | DOI: | 10.1016/j.jbankfin.2010.09.024 |
顯示於: | 財務金融學系 |
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