The Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project
The emphasis of the Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" strategic research project will be on optimising access to the equity risk premium while controlling for downside risk.
In 2008, worldwide equity markets collapsed and many assets which conventional investment wisdom until then regarded as effective equity diversifiers, such as commodities, also experienced dramatic falls. Meanwhile, equity volatility skyrocketed causing long positions in equity volatility to rally. These events as well as regulatory developments dashed the exaggerated hopes placed in traditional forms of diversification and led investors to pay increased scrutiny to the volatility and downside risk of equity holdings if not to question the level of their allocation to equity altogether. They also prompted interest in the possible use of equity volatility derivatives as diversifiers for traditional and alternative portfolios in general, and equity positions in particular.
Against this backdrop, the present research project is dedicated to exploring the uses of volatility derivatives by professional investors, with specific emphasis on their equity portfolio management applications.
The project will show how volatility derivatives can be used to optimise access to the equity risk premium in a controlled volatility-risk environment, and engineer equity portfolios with downside-risk properties that compare favourably to solutions put forward by leading asset managers.
The project will be co-managed by Stoyan Stoyanov, Professor of Finance at EDHEC Business School, and Head of Research at EDHEC Risk Institute—Asia, and Lionel Martellini, Professor of Finance at EDHEC Business School, and Scientific Director of EDHEC-Risk Institute.
The work will be overseen by a joint Eurex/EDHEC Risk Institute—Asia steering committee.
[Press release announcing the launch of the strategic research project: 03/03/11]
Research Output
The research output from the Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" strategic research project will be published in this section in due course.
About Eurex
Eurex is one of the world's leading derivatives exchanges and is jointly operated by Deutsche Börse AG and SIX Swiss Exchange. Eurex offers a broad range of international benchmark products and operates the most liquid fixed income markets in the world, featuring open and low-cost electronic access. With market participants connected from 700 locations worldwide, trading volume at Eurex exceeds 1,5 billion contracts a year. Therefore, Eurex is the market place of choice for the derivatives community worldwide.
Operating as a lean, entrepreneurial organization Eurex strives to fulfill customer demand. Its team of dedicated professionals does its utmost to offer every class of investor the advantages of having spot and futures markets as well as related clearing and settlement activities all fully integrated under one roof.
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Website: www.eurexchange.com
