Constructing Zero-Beta VIX Portfolios with Dynamic CAPM

This paper focuses on actively managed portfolios of VIX derivatives constructed to reduce portfolio correlation with the equity market. We find that the best results are obtained using Kalman filter-based dynamic CAPM. The portfolio construction method is capable of constructing zero-beta portfolios with positive alpha.

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Year of publication:	2014-06-01
Authors:	chen, jiaqi ; Tindall, Michael
Institutions:	Federal Reserve Bank of Dallas
Subject:	dynamic CAPM \| Kalman filter \| zero beta \| VIX \| VIX features

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Extent:	application/pdf
Series:	Occasional Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Occasional Papers Number 14-1 21 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010890129