A conservative discontinuous target volatility strategy

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10367459" target="_blank" >RIV/00216208:11320/17:10367459 - isvavai.cz</a>
Alternative codes found
RIV/61989100:27510/17:10240125
Result on the web
<a href="https://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-2-cont1/a-conservative-discontinuous-target-volatility-strategy" target="_blank" >https://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-2-cont1/a-conservative-discontinuous-target-volatility-strategy</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.21511/imfi.14(2-1).2017.03" target="_blank" >10.21511/imfi.14(2-1).2017.03</a>

Result language
angličtina
Original language name
A conservative discontinuous target volatility strategy
Original language description
The asset management sector is constantly looking for a reliable investment strategy, which is able to keep its promises. One of the most used approaches is the target volatility strategy that combines a risky asset with a risk-free trying to maintain the portfolio volatility constant over time. Several analyses highlight that such target is fulfilled on average, but in periods of crisis, the portfolio still suffers market's turmoils. In this paper, the authors introduce an innovative target volatility strategy: the discontinuous target volatility. Such approach turns out to be more conservative in high volatility periods. Moreover, the authors compare the adoption of the VIX Index as a risk measure instead of the classical standard deviation and show whether the former is better than the latter. In the last section, the authors also extend the analysis to remove the risk-free assumption and to include the correlation structure between two risky assets. Empirical results on a wide time span show the capability of the new proposed strategy to enhance the portfolio performance in terms of standard measures and according to stochastic dominance theory.
Czech name
—
Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA17-19981S" target="_blank" >GA17-19981S: Financial applications of stochastic ordering rules</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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