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Found 1 search results for: Paweł Sakowski

Juliusz Jabłecki, Ryszard Kokoszczyński, Paweł Sakowski, Robert Ślepaczuk, Piotr Wójcik (2015/6, Articles, p. 830)

Volatility Derivatives – A New Class of Financial Assets

The goal of this article is to introduce the two key volatility derivatives (volatility futures and variance swaps) in the context of portfolio optimization. Using data from the US stock market, the authors show that adding either long or short exposure to volatility can substantially improve portfolio effi ciency (i.e. improve its return-risk ratio). The most benefi cial strategy – in the (...)




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