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Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor Cover

Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor

Economics and Business Review
Volume 6 (2020): Issue 1 (March 2020)
By: Michał Latoszek and  Robert Ślepaczuk  
Open Access
|Apr 2020

Authors

Michał Latoszek

Quantitative Finance Research Group, Faculty of Economic Sciences, University of Warsaw, Warszawa, Poland

Robert Ślepaczuk

robert.slepaczuk@gmail.com

Quantitative Finance Research Group, Department of Quantitative Finance, Faculty of Economic Sciences, University of Warsaw, Warszawa, Poland
DOI: https://doi.org/10.18559/ebr.2020.1.3 | Journal eISSN: 2450-0097 | Journal ISSN: 2392-1641
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Language: English
Page range: 46 - 81
Submitted on: Nov 15, 2019
Accepted on: Mar 16, 2020
Published on: Apr 9, 2020
Published by: Poznań University of Economics and Business Press
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
Keywords:
volatility,
asset class,
portfolio optimization,
Polish market,
VIX,
Markowitz portfolio,
naïve diversification
Related subjects:
Business and economics,
Political economics,
Political economics, other,
Finance,
Mathematics and statistics for economists,
Econometrics

© 2020 Michał Latoszek, Robert Ślepaczuk, published by Poznań University of Economics and Business Press
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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