The 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 volatility 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 measure 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.

(2017). A conservative discontinuous target volatility strategy [journal article - articolo]. In INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS. Retrieved from http://hdl.handle.net/10446/117496

A conservative discontinuous target volatility strategy

Vitali, Sebastiano;Ortobelli Lozza, Sergio;Moriggia, Vittorio
2017

Abstract

The 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 volatility 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 measure 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.
articolo
Cirelli, Simone; Vitali, Sebastiano; Ortobelli Lozza, Sergio; Moriggia, Vittorio
(2017). A conservative discontinuous target volatility strategy [journal article - articolo]. In INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS. Retrieved from http://hdl.handle.net/10446/117496
File allegato/i alla scheda:
File Dimensione del file Formato  
imfi_2017_02cont_Cirelli.pdf

accesso aperto

Descrizione: cc by - rivista doaj
Versione: publisher's version - versione editoriale
Licenza: Creative commons
Dimensione del file 1.4 MB
Formato Adobe PDF
1.4 MB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

Caricamento pubblicazioni consigliate

Aisberg ©2008 Servizi bibliotecari, Università degli studi di Bergamo | Terms of use/Condizioni di utilizzo

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/117496
Citazioni
  • Scopus 2
  • ???jsp.display-item.citation.isi??? ND
social impact