Optimal investments in volatility
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- Carol Alexander & Dimitris Korovilas, 2011. "The Hazards of Volatility Diversification," ICMA Centre Discussion Papers in Finance icma-dp2011-04, Henley Business School, Reading University.
- Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013.
"Portfolio selection with skewness: A comparison of methods and a generalized one fund result,"
European Journal of Operational Research,
Elsevier, vol. 230(2), pages 412-421.
- W. Briec & K. Kerstens & I. Van de Woestyne, 2013. "Portfolio selection with skewness : a comparison of methods and a generalized one fund result," Post-Print hal-00837674, HAL.
- Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2013. "Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result," Working Papers 2013-ECO-04, IESEG School of Management.
- Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
- Jie Zhu, 2009. "Pricing volatility of stock returns with volatile and persistent components," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 243-269, September.
- Carol Alexander & Dimitris Korovilas, 2012. "Diversification of Equity with VIX Futures: Personal Views and Skewness Preference," ICMA Centre Discussion Papers in Finance icma-dp2012-07, Henley Business School, Reading University.
- Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia, 2016. "Diversification with volatility products," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 213-235.
- Nieto, Belén & Novales, Alfonso & Rubio, Gonzalo, 2014. "Variance swaps, non-normality and macroeconomic and financial risks," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 257-270.
- Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
More about this item
KeywordsVariance swap; Volatility risk premium; Portfolio analysis; Higher moments; Polynomial goal programming; Hedge funds; G10; G12; G13;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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