Yan, Xiangzhen
[VerfasserIn]
;
Zhu, Yunfan
[Sonstige Person, Familie und Körperschaft];
Cui, Zhenyu
[Sonstige Person, Familie und Körperschaft];
Zhang, Shuguang
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 24, 2020 erstellt
Beschreibung:
In this paper, we solve in closed-form for the optimal investment strategies in both equity derivatives and VIX derivatives in a stochastic volatility model with jumps. This is motivated by the recent developments of the VIX derivatives market, and the increasing adoption of VIX derivatives in portfolio management practices. VIX derivatives allow for direct exposure to the volatility risk as compared to equity derivatives. Based on the closed-form formula. we determine explicitly the portfolio improvement brought by the inclusion of the VIX derivative, and establish that it is positive theoretically, which is consistent with intuition. This justifies the demand for VIX derivatives in a portfolio management setting. Numerical examples illustrate the results