Date of Graduation
Bachelor of Science in Business Administration
Santamaria, Sergio F
Stamenov, Venstislav M
Ubiquitous investment strategies often include similar forms of diversification â€“ holding stocks of differing industries, exposed to different business cycles, in order to reduce idiosyncratic risk. During the recession, these strategies failed as the markets fell substantially leaving investors exposed to great amounts of systematic, or â€œun-diversifiableâ€ risk. Throughout this paper, I will examine the effects of diversifying a portfolio using call options on the CBOE Volatility Index (VIX) to try and alleviate systematic risk from a portfolio, allowing an investor to capitalize from short-term market fluctuations arising from financial, economic, and geopolitical risks.
Amos, A. J. (2014). Diversifying a Portfolio using VIX Options. Finance Undergraduate Honors Theses Retrieved from https://scholarworks.uark.edu/finnuht/6