政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124649

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/124649

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政大典藏 > College of Commerce > Department of International Business > Theses > Item 140.119/124649

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124649

Title:	目標波動策略－以MSCI World ETF 為例 Target Volatility Strategies for MSCI World ETF
Authors:	李書萱 Lee, Shu-Hsuan
Contributors:	郭維裕 Kuo, Wei-Yu 李書萱 Lee, Shu-Hsuan
Keywords:	目標波動管理波動波動策略 TVS Target volatility strategy Volatility strategy Volatility management
Date:	2019
Issue Date:	2019-08-07 15:52:01 (UTC+8)
Abstract:	This paper investigates into target volatility strategy applied to ishare MSCI World ETF by the method of Dachraoui (2018). We keep the volatility to a target volatility and use corresponding risk exposure to manage portfolio. When the volatility is high/low, the exposure is low/high. We find that the negative covariance of the realized volatility and the risk-adjusted excess returns is an important factor which may affect TVS is workable or not. Only under the condition of negative covariance, we can conclude an effective TVS.
Reference:	DeMiguel, V., Garlappi, L., & Uppal, R. 2007. Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy?. The review of Financial studies, 22(5): 1915-1953. Chaves, D., Hsu, J., Li, F., & Shakernia, O. 2011. Risk parity portfolio vs. other asset allocation heuristic portfolios. Journal of Investing, 20(1): 108. Dachraoui, K. 2018. On the optimality of target volatility strategies. The Journal of Portfolio Management, 44(5): 58-67. Hocquard, A., Ng, S., & Papageorgiou, N. 2013. A constant-volatility framework for managing tail risk. The Journal of Portfolio Management, 39(2): 28-40. Dopfel, F. E., & Ramkumar, S. R. 2013. Managed volatility strategies: applications to investment policy. Journal of Portfolio Management, 40(1): 27. Liu, F., Tang, X., & Zhou, G. 2018. Volatility-Managed Portfolio: Does It Really Work?. Available at SSRN 3283395. Moreira, A., & Muir, T. 2017. Volatility‐Managed Portfolios. The Journal of Finance, 72(4): 1611-1644.
Description:	碩士國立政治大學國際經營與貿易學系 1073510101
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G1073510101
Data Type:	thesis
DOI:	10.6814/NCCU201900187
Appears in Collections:	[Department of International Business] Theses

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