Chen, Hsuan-Chi; Chung, San-Lin; Ho, Keng-Yu - In: Journal of Banking & Finance 35 (2011) 5, pp. 1179-1189
We examine whether investors can improve their investment opportunity sets through the addition of volatility-related assets into various groupings of benchmark portfolios. By first analyzing the weekly returns of three VIX-related assets over the period 1996-2008 and then applying mean-variance...