IPS Strategic Capital: A Study In Portfolio Diversification With VIX Options
The search for dependable low cost portfolio tail protection from exogenous events, like the 1987 crash, the 2000 Dotcom bubble, the credit crisis of 2008 and the European crisis in 2011 continues. In this study we consider the performance of systematic use of Chicago Board Options Exchange Volatility Index call options as a viable alternative for portfolio hedging than more expensive strategies like protective puts.
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