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[{"key": "dc.contributor.advisor", "value": "Junttila, Juha", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Varila, Ville", "language": "", "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2019-04-24T07:56:11Z", "language": null, "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2019-04-24T07:56:11Z", "language": null, "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2019", "language": "", "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/63586", "language": null, "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "T\u00e4ss\u00e4 ty\u00f6ss\u00e4 tarkastellaan VIX\u2013indeksill\u00e4 tapahtuvaa suojausta osakkeille, joukkovelkakirjoille ja kiinteist\u00f6ille sek\u00e4 n\u00e4ist\u00e4 muodostetuille nelj\u00e4n eri allokaation portfolioille. Omaisuusluokkien ja portfolioiden ehdolliset volatiliteetit sek\u00e4 ehdolliset korrelaatiot muodostetaan DCC-GARCH(1,1) \u2013mallin avulla. T\u00e4m\u00e4n j\u00e4lkeen dynaamisia suojausasteita verrataan lineaarisella regressiolla muodostettuihin staattisiin suojausasteisiin.\nVIX\u2013indeksiin pohjautuvilla instrumenteilla tapahtuvaa suojausta on tarkasteltu aiemmin l\u00e4hinn\u00e4 osakeportfoliolle riskinhallinnan tai hajautuksen n\u00e4k\u00f6kulmasta. T\u00e4m\u00e4 ty\u00f6 laajentaa aiheen aiempaa kirjallisuutta sis\u00e4llytt\u00e4m\u00e4ll\u00e4 kiinteist\u00f6t osaksi suojattavaa portfoliota. VIX\u2013indeksi ja siihen perustuvat instrumentit ovat sijoitusportfoliolle potentiaalinen riskinhallinnan v\u00e4line, sill\u00e4 VIX\u2013indeksin tuottojen on havaittu korreloivan negatiivisesti S&P 500 \u2013indeksin tuottojen kanssa. T\u00e4m\u00e4 tuottojen korrelaatio on negatiivisimmillaan markkinaromahdusten aikana.\nTy\u00f6n tulokset ovat yhdenmukaisia aikaisemman kirjallisuuden kanssa niin korrelaatioiden kuin suojausasteidenkin n\u00e4k\u00f6kulmasta. Tulosten perusteella staattiset ja dynaamiset suojausasteet poikkeavat toisistaan varsin paljon jokaisen omaisuusluokan ja portfolion kohdalla. Osakkeiden ja kiinteist\u00f6jen suojausasteet k\u00e4ytt\u00e4ytyv\u00e4t hyvin samankaltaisesti, mutta kiinteist\u00f6sijoituksen suojausaste ja sen vaihteluv\u00e4li on keskim\u00e4\u00e4rin suurempi. Kiinteist\u00f6jen lis\u00e4\u00e4misell\u00e4 portfolioon havaittiin olevan suojausastetta nostava vaikutus.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by Paivi Vuorio (paelvuor@jyu.fi) on 2019-04-24T07:56:11Z\nNo. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2019-04-24T07:56:11Z (GMT). No. of bitstreams: 0\n Previous issue date: 2019", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "81", "language": "", "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "fin", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "optimaalinen suojausaste", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "DCC-GARCH", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "VIX-indeksi", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "VIX-indeksi sijoitusportfolion riskinhallinnan v\u00e4lineen\u00e4 : optimaalinen suojausaste", "language": "", "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-201904242252", "language": "", "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Business and Economics", "language": "en", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Taloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "yvv.contractresearch.funding", "value": "0", "language": "", "element": "contractresearch", "qualifier": "funding", "schema": "yvv"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": null, "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": "", "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "kiinteist\u00f6t", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "joukkovelkakirjat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "portfoliot", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "riskienhallinta", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "suojaus", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "osakkeet", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": "https://rightsstatements.org/page/InC/1.0/", "language": null, "element": "rights", "qualifier": "url", "schema": "dc"}, {"key": "dc.type.okm", "value": "G2", "language": null, "element": "type", "qualifier": "okm", "schema": "dc"}]
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