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.
File format is application/pdf
Description: Full text
Provider: Federal Reserve Bank of Dallas
Part of Series: Occasional Papers
Publication Date: 2014-06-01
Pages: 21 pages