Please use this identifier to cite or link to this item:
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
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:
Appears in Collections:Aurora harvest 8
Business School publications

Files in This Item:
File Description SizeFormat 
  Restricted Access
Restricted Access269.39 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.