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Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien

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  • Detering, Nils
  • Zhou, Qixiang
  • Wystup, Uwe
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    Abstract

    In Zeiten stark schwankender Finanzmarkte liegt der Fokus von Investoren insbesondere auf dem mit einer Anlage verbundenen Risiko. Gerade in diesen Marktphasen suchen Investoren nach Moglichkeiten, ihr bestehendes Portfolio weiter zu diversifizieren. Volatilitätsinvestments bieten durch ihre negative Korrelation zu traditionellen Assetklassen diese Möglichkeit. --

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    Bibliographic Info

    Paper provided by Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF) in its series CPQF Working Paper Series with number 30.

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    Date of creation: 2012
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    Handle: RePEc:zbw:cpqfwp:30

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    1. Reinhold Hafner & Martin Wallmeier, 2007. "Volatility as an Asset Class: European Evidence," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 13(7), pages 621-644.
    2. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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