Dimitris Korovilas

University of Reading - ICMA Centre

Whiteknights Park

P.O. Box 242

Reading RG6 6BA

United Kingdom

  • University of Reading - ICMA Centre

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    • Tel: +44 (0)118 378 8239
    • Fax: +44 (0)118 931 4741
SCHOLARLY PAPERS

5

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18

Scholarly Papers (5)

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1.

Understanding ETNs on VIX Futures

Number of pages: 41 Posted: 22 Apr 2012 Last Revised: 20 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 3,933 (3,369)
Citation 13

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VIX Futures, Volatility ETNs, VXX, TVIX, Roll Cost, Exchange-Traded Notes, Hedging, Portfolio Performance

2.

The Hazards of Volatility Diversification

ICMA Centre Discussion Paper in Finance No. DP2011-04
Number of pages: 24 Posted: 01 Feb 2011 Last Revised: 08 Feb 2011
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 1,495 (16,355)
Citation 7

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Black-Litterman Model, Institutional Investors, Mean-Variance Criterion, Optimal Asset Allocation, SPY ETF, VIX Futures

3.

Diversification of Equity with VIX Futures: Personal Views and Skewness Preference

Number of pages: 34 Posted: 24 Mar 2012 Last Revised: 19 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 799 (40,437)
Citation 4

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Black–Litterman Model, mean–variance criterion, optimal asset allocation, SPY, roll cost, VIX futures, VXX, volatility ETNs

4.

Trading and Investing in Volatility Products

Financial Markets, Institutions & Instruments, Vol. 24, Issue 4, pp. 313-347, 2015
Number of pages: 35 Posted: 13 Oct 2015
Carol Alexander, Julia Kapraun, Julia Kapraun and Dimitris Korovilas
University of Sussex Business School, Goethe University Frankfurt - House of FinanceUniversity of Hamburg and University of Reading - ICMA Centre
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Citation 3
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VIX, VSTOXX, volatility futures, volatility ETPs, roll yield

5.

Volatility Exchange-Traded Notes: Curse or Cure?

Posted: 20 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre

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Exchange-traded notes, constant-maturity VIX futures, roll yield, manipulation-proof performance measure