Discussion Paper
Constructing Zero-Beta VIX Portfolios with Dynamic CAPM
Abstract: 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.
Keywords: Kalman filter; VIX features; VIX; dynamic CAPM; zero beta;
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Bibliographic Information
Provider: Federal Reserve Bank of Dallas
Part of Series: Occasional Papers
Publication Date: 2014-06-01
Number: 14-1
Pages: 21 pages