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>Reducing Portfolio Risk Using Volatility - A risk-return examination of the addition of VIX and VIX futures contracts to an equity portfolio
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Reducing Portfolio Risk Using Volatility - A risk-return examination of the addition of VIX and VIX futures contracts to an equity portfolio
This thesis examines the effects of adding volatility, as represented by the CBOE Volatility Index (VIX) and VIX futures contracts, to a stock portfolio in terms of portfolio risk and portfolio return. The study is based on statistical properties as well as Markowitz’s modern portfolio theory, with support from previous research conducted by Hill (2013), Szado (2009), and Daigler and Rossi (2006). We find that volatility can be used to reduce risk in a stock portfolio, and in many cases also increase expected portfolio return. These findings are in line with previous mentioned research.
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机译:本文从投资组合风险和投资组合收益的角度研究了以CBOE波动指数(VIX)和VIX期货合约为代表的波动性对股票投资组合的影响。这项研究基于统计属性以及Markowitz的现代证券理论,并得到了Hill(2013),Szado(2009)和Daigler and Rossi(2006)进行的先前研究的支持。我们发现波动率可以用来降低股票投资组合的风险,并且在许多情况下还可以提高期望的投资组合收益。这些发现与前面提到的研究一致。
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