Chen, Hsuan-Chi; Chung, San-Lin; Ho, Keng-Yu - In: Journal of Banking & Finance 35 (2011) 5, pp. 1179-1189
-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 spanning tests, we find that adding VIX-related assets does lead to a …. Second, hedge fund managers can utilize VIX futures contracts or VIX-squared portfolios to enhance their equity portfolio …