Date of Award


Degree Type

Doctoral Dissertation

Degree Name

Doctor of Business Administration (DBA)


Jack Welch College of Business

Dissertation Supervisor

Dr. Walker (Keener) Hughen

Committee Member

Dr. Carlos Liard-Muriente

Committee Member

Dr. Carmelo Giacotto


A risk-averse investor with a long equity position is presumably interested in identifying a hedging strategy that protects the value of that investment. The common approach encompasses using either financial derivatives or holding assets (such as gold or Swiss francs) as portfolio hedges as they show negative correlation with equities. This paper proposes using volatility indexes as portfolio hedges instead; it shows that a volatility-based dynamic hedging strategy is the most effective at protecting the value of an equity investment.

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.



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