文章基本信息

标题：A conservative discontinuous target volatility strategy
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作者：Simone Cirelli ; Sebastiano Vitali ; Sergio Ortobelli Lozza 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2017
卷号：14
期号：2
页码：176-190
DOI：10.21511/imfi.14(2-1).2017.03
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：e asset management sector is constantly looking for a reliable investment strategy, which is able to keep its promises.One of the most used approaches is the target volatil?ity strategy that combines a risky asset with a risk-free trying to maintain the portfolio volatility constant over time.Several analyses highlight that such target is fulfilled on average,but in periods of crisis,the portfolio still suffers market's turmoils.In this paper,the authors introduce an innovative target volatility strategy:the discontinuous target volatility.Such approach turns out to be more conservative in high volatility periods.Moreover,the authors compare the adoption of the VIX Index as a risk mea?sure instead of the classical standard deviation and show whether the former is better than the latter.In the last section,the authors also extend the analysis to remove the risk-free assumption and to include the correlation structure between two risky assets. Empirical results on a wide time span show the capability of the new proposed strategy to enhance the portfolio performance in terms of standard measures and according to stochastic dominance theory.
关键词：target volatility strategy;asset allocation;implied volatility;VIX;stochastic dominance