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У среду 6. децембра 2023. у 17:15 часова, у сали 821, биће одржано предавање: проф. др Милош Божовић (Економски факултет Универзитета у Београду) под називом
VIX-MANAGED PORTFOLIOS
We propose a simple portfolio management strategy that gauges the leverage based on the
observed implied volatility index (VIX). The strategy involves taking
less risk when the cumulative previous-month VIX is high and more when
it is low. We show that the strategy yields more stable weights and thus
requires less rebalancing than comparable strategies based on realized
volatility. As a result, it produces substantially higher spanning
regression alphas when transaction costs are taken into account. We
document this for ten equity factors, six classes of mean-variance
efficient portfolios and 176 anomaly portfolios. We argue that the
superior performance of the VIX-based strategy is driven by its ability
to time volatility and tail risk simultaneously, resulting from the
forward-looking nature of the information entailed in the index and the
higher-order return moments embedded in the implied volatility smile.
Линк за приступ је https://zoom.us/j/99338210828?pwd=TjJOaFdhZVFjV09JM1pHb0pNVy82QT09
Meeting ID: 993 3821 0828
Passcode: 990127