Volatility as an asset class : diversification benefits of adding VSTOXX futures to European multi-asset portfolios

Volatility as an asset class diversification benefits of adding VSTOXX futures to European multi-asset portfolios

Previous research has suggested that cross correlations of different asset classes tend to increase during market downturns. This in turn leads investors to look for alterna- tive sources of diversification. Placing special emphasis on the 2020 stock market crash triggered by COVID-19, this paper ex...

Täydet tiedot

Bibliografiset tiedot
Päätekijä: Jaatinen, Jimi
Muut tekijät: Jyväskylä University School of Business and Economics, Jyväskylän yliopiston kauppakorkeakoulu, Taloustieteet, Business and Economics, Jyväskylän yliopisto, University of Jyväskylä
Aineistotyyppi: Kandityö
Kieli:eng
Julkaistu: 2021
Aiheet:
VSTOXX futures
mean-variance spanning
asset allocation
volatility
diversification
Laskentatoimi
Accounting
20421
Linkit: https://jyx.jyu.fi/handle/123456789/76819

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