Essays about: "Nils Hartung von Hartungen"

Found 1 essay containing the words Nils Hartung von Hartungen.

  1. 1. VIX ETPs as Portfolio Diversifiers

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nils Hartung von Hartungen; Michael Katzdobler; [2017]
    Keywords : VIX; ETPs; Mean-Variance Spanning; Mean-Variance Criterion; Multi-Objective Portfolio Selection;

    Abstract : This paper studies whether the popularity of VIX ETPs can be explained by their suitability as portfolio diversifiers for retail investors having access to a typical set of ETFs. We first carry out an analysis from the perspective of investors with a quadratic utility function by employing the mean-variance spanning test and the mean-variance criterion. READ MORE