Feasibility of Diversifying Equities with Volatility Futures
February 7, 2011 - Strategic Allocation, Volatility Effects
Can investors straightforwardly diversify equity portfolios with volatility futures? In the January 2011 draft of their paper entitled “The Hazards of Volatility Diversification”, Carol Alexander and Dimitris Korovilas explore the potential benefits and costs of combining ‘buy-and-hold’ positions in volatility futures with a long-term equity portfolio. Specifically, they examine diversification of long exposure to the… Keep Reading