{"id":4349,"date":"2023-11-24T13:43:22","date_gmt":"2023-11-24T13:43:22","guid":{"rendered":"https:\/\/www.stat.matf.bg.ac.rs\/?p=4349"},"modified":"2023-11-28T21:19:34","modified_gmt":"2023-11-28T21:19:34","slug":"%d1%81%d0%b5%d0%bc%d0%b8%d0%bd%d0%b0%d1%80-%d0%ba%d0%b0%d1%82%d0%b5%d0%b4%d1%80%d0%b5-%d0%b7%d0%b0-%d0%b2%d0%b5%d1%80%d0%be%d0%b2%d0%b0%d1%82%d0%bd%d0%be%d1%9b%d1%83-%d0%b8-%d1%81%d1%82%d0%b0%d1%82-11","status":"publish","type":"post","link":"https:\/\/www.stat.matf.bg.ac.rs\/en\/%d1%81%d0%b5%d0%bc%d0%b8%d0%bd%d0%b0%d1%80-%d0%ba%d0%b0%d1%82%d0%b5%d0%b4%d1%80%d0%b5-%d0%b7%d0%b0-%d0%b2%d0%b5%d1%80%d0%be%d0%b2%d0%b0%d1%82%d0%bd%d0%be%d1%9b%d1%83-%d0%b8-%d1%81%d1%82%d0%b0%d1%82-11\/","title":{"rendered":"Seminar of the Department of Probability and Statistics"},"content":{"rendered":"
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<\/p>\n

\u0423 \u0441\u0440\u0435\u0434\u0443 6. \u0434\u0435\u0446\u0435\u043c\u0431\u0440\u0430 2023. \u0443 17:15 \u0447\u0430\u0441\u043e\u0432\u0430, \u0443 \u0441\u0430\u043b\u0438 821, \u0431\u0438\u045b\u0435 \u043e\u0434\u0440\u0436\u0430\u043d\u043e \u043f\u0440\u0435\u0434\u0430\u0432\u0430\u045a\u0435:  \u043f\u0440\u043e\u0444. \u0434\u0440 \u041c\u0438\u043b\u043e\u0448 \u0411\u043e\u0436\u043e\u0432\u0438\u045b (\u0415\u043a\u043e\u043d\u043e\u043c\u0441\u043a\u0438 \u0444\u0430\u043a\u0443\u043b\u0442\u0435\u0442 \u0423\u043d\u0438\u0432\u0435\u0440\u0437\u0438\u0442\u0435\u0442\u0430 \u0443 \u0411\u0435\u043e\u0433\u0440\u0430\u0434\u0443)  \u043f\u043e\u0434 \u043d\u0430\u0437\u0438\u0432\u043e\u043c<\/p>\n

VIX-MANAGED PORTFOLIOS<\/b><\/p>\n

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.<\/p>\n

\u041b\u0438\u043d\u043a \u0437\u0430 \u043f\u0440\u0438\u0441\u0442\u0443\u043f \u0458\u0435 https:\/\/zoom.us\/j\/99338210828?pwd=TjJOaFdhZVFjV09JM1pHb0pNVy82QT09<\/a><\/p>\n

Meeting ID: 993 3821 0828
Passcode: 990127<\/p>\n

<\/p>\n

 <\/p>\t\t\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t<\/div>","protected":false},"excerpt":{"rendered":"

\u0423 \u0441\u0440\u0435\u0434\u0443 6. \u0434\u0435\u0446\u0435\u043c\u0431\u0440\u0430 2023. \u0443 17:15 \u0447\u0430\u0441\u043e\u0432\u0430, \u0443 \u0441\u0430\u043b\u0438 821, \u0431\u0438\u045b\u0435 \u043e\u0434\u0440\u0436\u0430\u043d\u043e \u043f\u0440\u0435\u0434\u0430\u0432\u0430\u045a\u0435:  \u043f\u0440\u043e\u0444. \u0434\u0440 \u041c\u0438\u043b\u043e\u0448 \u0411\u043e\u0436\u043e\u0432\u0438\u045b (\u0415\u043a\u043e\u043d\u043e\u043c\u0441\u043a\u0438 \u0444\u0430\u043a\u0443\u043b\u0442\u0435\u0442 \u0423\u043d\u0438\u0432\u0435\u0440\u0437\u0438\u0442\u0435\u0442\u0430 \u0443 \u0411\u0435\u043e\u0433\u0440\u0430\u0434\u0443)  \u043f\u043e\u0434 \u043d\u0430\u0437\u0438\u0432\u043e\u043c VIX-MANAGED PORTFOLIOS We propose a simple portfolio management strategy that gauges the leverage based on theobserved implied volatility index (VIX). The strategy involves takingless risk when the cumulative previous-month VIX […]<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1],"tags":[],"class_list":["post-4349","post","type-post","status-publish","format-standard","hentry","category-uncategorized"],"blocksy_meta":[],"_links":{"self":[{"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/posts\/4349","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/comments?post=4349"}],"version-history":[{"count":12,"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/posts\/4349\/revisions"}],"predecessor-version":[{"id":4389,"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/posts\/4349\/revisions\/4389"}],"wp:attachment":[{"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/media?parent=4349"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/categories?post=4349"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.stat.matf.bg.ac.rs\/en\/wp-json\/wp\/v2\/tags?post=4349"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}