A portfolio insurance strategy for volatility index (VIX) futures
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- 作者：Young Cheol Jung ; yjung@mtroyal.ca" class="auth_mail" title="E-mail the corresponding author
- 关键词：G11 ; G12 ; G17 ; G32
- 刊名：The Quarterly Review of Economics and Finance
- 出版年：2016
- 出版时间：May 2016
- 年：2016
- 卷：60
- 期：Complete
- 页码：189-200
- 全文大小：1086 K
文摘
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Propose a methodology using VIX futures as an investment asset while controlling downside risk.
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Build three portfolio insurance (PI) strategies using option-based portfolio insurance (OBPI) and constant proportion portfolio insurance (CPPI) for VIX futures.
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The effectiveness of the strategy is tested by historical return simulation of eight subsamples and a full sample for the period of Feb. 2007–Jan. 2015.
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It is found that the PI strategy can be a tool for both investment and diversification.