A conservative discontinuous target volatility strategy

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F17%3A10240125" target="_blank" >RIV/61989100:27510/17:10240125 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/00216208:11320/17:10367459

Výsledek na webu

<a href="https://doi.org/10.21511/imfi.14(2-1).2017.03" target="_blank" >https://doi.org/10.21511/imfi.14(2-1).2017.03</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>

Jazyk výsledku

angličtina

Název v původním jazyce

A conservative discontinuous target volatility strategy

Popis výsledku v původním jazyce

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&apos;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. (C) Simone Cirelli, Sebastiano Vitali, Sergio Ortobelli Lozza, Vittorio Moriggia, 2017.

Název v anglickém jazyce

A conservative discontinuous target volatility strategy

Popis výsledku anglicky

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&apos;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. (C) Simone Cirelli, Sebastiano Vitali, Sergio Ortobelli Lozza, Vittorio Moriggia, 2017.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA17-19981S" target="_blank" >GA17-19981S: Finanční aplikace stochastického uspořádání</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

International Research Journal: Investment Management and Financial Innovations

ISSN

1810-4967

e-ISSN

—

Svazek periodika

14

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

UA - Ukrajina

Počet stran výsledku

15

Strana od-do

176-190

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85042648149