Instrumenty pochodne na zmienność – nowa klasa aktywów finansowych
Volatility Derivatives – A New Class of Financial Assets
Author(s): Juliusz Jablecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Ślepaczuk, Piotr WójcikSubject(s): Business Economy / Management, Management and complex organizations, Policy, planning, forecast and speculation
Published by: Instytut Nauk Ekonomicznych Polskiej Akademii Nauk
Keywords: volatility; VIX futures; variance swaps; portfolio optimization;
Summary/Abstract: The goal of this article is to introduce the two key volatility derivatives (volatility futures and variance swaps) in the context of portfolio optimization. Using data from the US stock market, the authors show that adding either long or short exposure to volatility can substantially improve portfolio efficiency (i.e. improve its return-risk ratio). The most beneficial strategy – in the sense of maximizing return and minimizing value-at-risk – combines exposure to both implied volatility and realized volatility, which naturally complement one another.
Journal: Ekonomista
- Issue Year: 2015
- Issue No: 6
- Page Range: 830-856
- Page Count: 27
- Language: Polish
