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Can Investing in Volatility Help Meet Your Portfolio Objectives?

Warren, Geoffrey

Description

This research has investigated whether volatility exposure might contribute to achieving various portfolio objectives from the standpoint of an investor with an existing portfolio similar to the typical U.S. pension fund. The main message is that the response to opportunities in volatility markets should depend on investor circumstances. Shorting volatility, particularly onemonth variance swaps, offers the possibility of capturing what appears to be a substantial volatility risk premium. This...[Show more]

CollectionsANU Research Publications
Date published: 2012
Type: Journal article
URI: http://hdl.handle.net/1885/26870
Source: Journal of Portfolio Management
DOI: 10.3905/jpm.2012.38.2.082

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