Abstract

http://ssrn.com/abstract=1945703
 
 

References (21)



 


 



Volatility Strategies for Global and Country Specific European Investors


Marie Briere


Amundi Asset Management; Paris Dauphine University; Université Libre de Bruxelles

Jean-David Fermanian


Independent

Hassan Malongo


Amundi Asset Management; Université de Paris-Dauphine (Ceremade)

Ombretta Signori


AXA Investment Managers

October 17, 2011


Abstract:     
Adding volatility exposure to an equity portfolio offers interesting opportunities for long-term investors. This article discusses the advantages of adding a long volatility strategy for a protection to a global European equity portfolio and to specific equity portfolios based in "core" or "peripheral" countries within the euro zone. A European investor today has the choice of investing in US or European equity volatility. We check whether a long volatility strategy based on VSTOXX futures is better than a strategy based on VIX futures. The benefit of using volatility strategies as a hedge for equities is shown through a Mean/Modified-CVaR portfolio optimization. We find that long volatility strategies offer valuable protection to all European equity investors. A long volatility strategy based on VSTOXX futures offers better protection than a similar one based on VIX futures. It reduces the risk of an equity portfolio more significantly, while providing more attractive returns. For specific European investors, and despite major differences in local European equity markets, our long volatility strategy shows a certain homogeneity and provides efficient protection, whatever the country.

Number of Pages in PDF File: 25

Keywords: Investment strategy, Portfolio choice, Conditional Value-at-Risk, Implied volatility, Hedging

JEL Classification: G11, G15, G17

working papers series


Download This Paper

Date posted: October 19, 2011 ; Last revised: October 27, 2011

Suggested Citation

Briere, Marie and Fermanian, Jean-David and Malongo, Hassan and Signori, Ombretta, Volatility Strategies for Global and Country Specific European Investors (October 17, 2011). Available at SSRN: http://ssrn.com/abstract=1945703 or http://dx.doi.org/10.2139/ssrn.1945703

Contact Information

Marie Briere
Amundi Asset Management ( email )
90 Boulevard Pasteur
Paris, 75015
France
Paris Dauphine University ( email )
place du Maréchal de Lattre de Tassigny
Paris, 75016
France
Université Libre de Bruxelles ( email )
Brussels
Belgium
Jean-David Fermanian
Independent ( email )
No Address Available
Hassan Malongo
Amundi Asset Management ( email )
90 Boulevard Pasteur
Paris, 75015
France
Université de Paris-Dauphine (Ceremade) ( email )
Place du Maréchal De Lattre De Tassigny
Paris, 75775
France
Ombretta Signori (Contact Author)
AXA Investment Managers ( email )
Coeur Défense Tour B - La Défense 4
100 Esplanade du Général de Gaulle
PARIS, Paris La Défense Cedex 92932
Feedback to SSRN


Paper statistics
Abstract Views: 885
Downloads: 205
Download Rank: 86,084
References:  21

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.296 seconds