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Keywords:zero beta 

Discussion Paper
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.
Occasional Papers , Paper 14-1

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