dc.contributor.advisor | Σκιαδόπουλος, Γεώργιος | |
dc.contributor.author | Κρανάς, Δημήτριος | |
dc.date.accessioned | 2012-06-11T11:10:17Z | |
dc.date.available | 2012-06-11T11:10:17Z | |
dc.date.issued | 2012-06-11T11:10:17Z | |
dc.identifier.uri | https://dione.lib.unipi.gr/xmlui/handle/unipi/4820 | |
dc.description.abstract | This paper investigates whether investors can improve their investment opportunity set that consists of traditional asset classes through the addition of VIX-related assets (Spot VIX and futures on VIX). First, we revisit the posed question within an in-sample setting by employing mean-variance and non-mean-variance spanning tests. To the best of our knowledge no previously published study has ever examined the results of non mean-variance spanning regarding VIX-related assets. Then, we form optimal portfolios by taking into account the higher order moments of the portfolio returns distribution and evaluate their out-of-sample performance. Under the in-sample setting, we find that VIX-related assets are beneficial both to mean-variance and to non mean-variance investors. Furthermore, these benefits are preserved out-of-sample. Our findings confirm the diversification benefits of VIX-related assets and are robust across a number of performance evaluation measures ,utility functions and datasets. The results hold even when transaction costs are considered . | |
dc.language.iso | en | |
dc.rights | Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.el | |
dc.subject | Derivatives Market | |
dc.subject | Παράγωγα (Χρηματοοικονομική) | |
dc.title | Should investors invest in volatility ? Evidence from the volatility derivatives market. | |
dc.type | Master Thesis | |
europeana.isShownAt | https://dione.lib.unipi.gr/xmlui/handle/unipi/4820 | |
dc.identifier.call | 332.645 ΚΡΑ | |