Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/108212
Type: Journal article
Title: Enhancing portfolio performance with the implied volatility index
Author: Nguyen, D.
Cheong, C.
Citation: JASSA, 2015; 2015(2):26-32
Publisher: Financial Services Institute of Australasia
Issue Date: 2015
ISSN: 0313-5934
Statement of
Responsibility: 
Duc Man Nguyen, Chee Seng Cheong
Abstract: Implied volatility has become a popular asset class as investors seek more effective diversifiers for investment portfolios after the recent global financial crisis. This paper provides a close examination of the relationship between the Australian Implied Volatility Index (A-VIX) and its underlying asset, the S&P/ASX 200 Index. It also highlights the limitations of A-VIX futures, which were introduced in October 2013, as a diversifier for investment portfolios.
Rights: © Financial Services Institute of Australasia
Published version: https://www.finsia.com/docs/default-source/jassa-new/jassa-2015/jassa-2015-issue-3/enhancing-portfolio-performance-with-the-implied-volatility-index.pdf?sfvrsn=6
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