Семинар Катедре за вероватноћу и статистику, 6. децембар 2023.

• 04. Децембар, 2023
• Коментари (0)

Наредни састанак Семинара биће одржан у среду, 6. децембра 2023. године у сали 821 Математичког факултета са почетком у 17.15.

Предавач: проф. др Милош Божовић, Економски факултет, Универзитет у Београду

Наслов предавања:  VIX-MANAGED PORTFOLIOS
 
Апстракт:
We propose a simple portfolio management strategy that gauges the leverage based on the observed implied volatility index (VIX). The strategy involves taking less risk when the cumulative previous-month VIX is high and more when it is low. We show that the strategy yields more stable weights and thus requires less rebalancing than comparable strategies based on realized volatility. As a result, it produces substantially higher spanning regression alphas when transaction costs are taken into account. We document this for ten equity factors, six classes of mean-variance efficient portfolios and 176 anomaly portfolios. We argue that the superior performance of the VIX-based strategy is driven by its ability to time volatility and tail risk simultaneously, resulting from the forward-looking nature of the information entailed in the index and the higher-order return moments embedded in the implied volatility smile.

Напомена: Семинар је могуће пратити на даљину.
 
Линк за приступ је:
https://zoom.us/j/99338210828?pwd=TjJOaFdhZVFjV09JM1pHb0pNVy82QT09

Meeting ID: 993 3821 0828
Passcode: 990127