Sökning: "Michael Katzdobler"

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1. 1. VIX ETPs as Portfolio Diversifiers

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Nils Hartung von Hartungen; Michael Katzdobler; [2017]
   Nyckelord :VIX; ETPs; Mean-Variance Spanning; Mean-Variance Criterion; Multi-Objective Portfolio Selection;

   Sammanfattning : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. LÄS MER