Can Investing in Volatility Help Meet Your Portfolio Objectives?
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]
|Collections||ANU Research Publications|
|Source:||Journal of Portfolio Management|
|01_Warren_Can_Investing_in_Volatility_2012.pdf||902.86 kB||Adobe PDF||Request a copy|
|02_Warren_Can_Investing_in_Volatility_2012.pdf||1.71 MB||Adobe PDF||Request a copy|
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