References
- Asensio, I. O. (2013). The VIX-VIX futures puzzle. (Unpublished Paper). University of Victoria.
- Alexander, C., & Korovilas, D. (2011). The hazards of volatility diversification. (ICMA Centre Discussion Paper in Finance No. DP2011-04).10.2139/ssrn.1752389
- Alexander, C., & Korovilas, D. (2012). Understanding ETNs on VIX Futures. SSRN Electronic Journals. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=204306110.2139/ssrn.2043061
- Benartzi, S., & Thaler, R. H. (2001). Naive diversification strategies in defined contribution saving plans. American Economic Review, 91(1), 78-98.10.1257/aer.91.1.79
- Briere, M., Fermanian, J. D., Malongo, H., & Signori, O. (2012). Volatility strategies for global and country specific European investors. Bankers Markets and Investors: An Academic & Professional Review, 17-30.
- Caloiero, E., & Guidolin, M. (2017). Volatility as an alternative asset class: Does it improve portfolio performance?. (BAFFI CAREFIN Centre Research Paper No. 2017-63).
- CBOE. (2018). The CBOE Volatility Index VIX White Paper. Retrieved from http://www.cboe.com/micro/vix/vixwhite.pdf
- DeMiguel, V., Garlapii, L., & Uppal, R. (2007). Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. The Review of Financial Studies, 22(15), 1915-1953.
- Dondoni, A., Montagna, D., & Maggi, M. (2018). VIX Index Strategies: Shorting volatility as a portfolio enhancing strategy. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=310440710.2139/ssrn.3104407
- Fahling, E. J., Steurer, E., Schädler, T., & Volz, A. (2018). Next level in risk management? hedging and trading strategies of volatility derivatives using VIX futures. Journal of Financial Risk Management, 7(4), 442-459.10.4236/jfrm.2018.74024
- Israelsen, C., (2005). A refinement to the Sharpe ratio and information ratio. Journal of Asset Management, 5, 423-427. Retrieved from https://doi:10.1057/palgrave.jam.224015810.1057/palgrave.jam.2240158
- Jabłecki, J., Kokoszczyński, R., Sakowski, P., Ślepaczuk, R., & Wójcik, P. (2015). Volatility as an asset class: Obvious benefits and hidden risks. Warszawa: Peter Lang GmbH.10.3726/978-3-653-04787-5
- Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7, 77-91.
- Stanescu, S., & Tunaru, R. (2013). Investment strategies with VIX and VSTOXX futures. (Working Paper, University of Kent, No. 271).10.2139/ssrn.2351427
- Szado, E. (2009). VIX Futures and options: A case study of portfolio diversification during the 2008 financial crisis. The Journal of Alternative Investments, 12(2), 68-85.10.3905/JAI.2009.12.2.068
- Szado, E. (2019). Selling VIX futures and options for portfolio return enhancement. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=339076410.2139/ssrn.3390764
- Ślepaczuk, R., & Zakrzewski, G. (2008). VWIG20: The concept of volatility index for the Polish Equity Market. eFinanse 2008—special issue, 47-85.
- Ślepaczuk, R., & Zakrzewski, G. (2013). High-frequency and model-free volatility estimators. Saarbrücken: LAP LAMBERT Academic Publishing.