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Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien


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


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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  • Detering, Nils & Zhou, Qixiang & Wystup, Uwe, 2012. "Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien," CPQF Working Paper Series 30, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  • 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, vol. 13(7), pages 621-644.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Peter Carr & Liuren Wu, 2009. "Variance Risk Premiums," Review of Financial Studies, Society for Financial Studies, vol. 22(3), pages 1311-1341, March.
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