Volatilität als Investment: Diversifikationseigenschaften von Volatilitätsstrategien

Nils Detering, Qixiang Zhou and Uwe Wystup

No 30, CPQF Working Paper Series from Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF)

Abstract: In Zeiten stark schwankender Finanzmarkte liegt der Fokus von Investoren insbesondere auf dem mit einer Anlage verbundenen Risiko. Gerade in diesen Marktphasen suchen Investoren nach Moglichkeiten, ihr bestehendes Portfolio weiter zu diversifizieren. Volatilitätsinvestments bieten durch ihre negative Korrelation zu traditionellen Assetklassen diese Möglichkeit.

Date: 2012
New Economics Papers: this item is included in nep-ger
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