A conservative discontinuous target volatility strategy
| Autor: | Vittorio Moriggia, Sebastiano Vitali, Simone Cirelli, Sergio Ortobelli Lozza |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Settore SECS-P/11 - Economia degli Intermediari Finanziari
Economics and Econometrics Computer science Investment strategy Strategy and Management 0211 other engineering and technologies Stochastic dominance asset allocation implied volatility stochastic dominance target volatility strategy VIX 02 engineering and technology GeneralLiterature_MISCELLANEOUS Standard deviation lcsh:Finance lcsh:HG1-9999 0502 economics and business Econometrics Asset management Business and International Management GeneralLiterature_REFERENCE(e.g. dictionaries encyclopedias glossaries) Publication ComputingMilieux_MISCELLANEOUS Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie Hardware_MEMORYSTRUCTURES 050208 finance 021103 operations research Information retrieval business.industry Risk measure 05 social sciences Portfolio Volatility (finance) business Finance |
| Zdroj: | Investment Management & Financial Innovations, Vol 14, Iss 2, Pp 176-190 (2017) |
| ISSN: | 1812-9358 1810-4967 |
| DOI: | 10.21511/imfi.14(2-1).2017.03 |
| Popis: | The asset management sector is constantly looking for a reliable investment strategy, which is able to keep its promises. One of the most used approaches is the target volatility strategy that combines a risky asset with a risk-free trying to maintain the portfolio volatility constant over time. Several analyses highlight that such target is fulfilled on average, but in periods of crisis, the portfolio still suffers market’s turmoils. In this paper, the authors introduce an innovative target volatility strategy: the discontinuous target volatility. Such approach turns out to be more conservative in high volatility periods. Moreover, the authors compare the adoption of the VIX Index as a risk measure instead of the classical standard deviation and show whether the former is better than the latter. In the last section, the authors also extend the analysis to remove the risk-free assumption and to include the correlation structure between two risky assets. Empirical results on a wide time span show the capability of the new proposed strategy to enhance the portfolio performance in terms of standard measures and according to stochastic dominance theory. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|