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Volatility as a Hedging Framework : Portfolio Analysis

Loustaunau, Romain
(2015)

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Loustaunau_93521000_2015.pdf
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Details

Supervisors
Colmant, Bruno ; Fox, Mathilde
Faculty
Louvain School of Management
Degree label
Master [120] en sciences de gestion
Abstract
Volatility appears to be asymmetric to equities. We consider volatility as an asset and examine its benefits when allocated to a portfolio. The portfolio optimization with vix allocation at an index level is transposed to an investable level. Finally a portfolio exhibiting a tail hedge strategy and beating the market is constructed.