Date of Award
5-2018
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. Walker (Keener) Hughen
Committee Member
Dr. Carlos Liard-Muriente
Committee Member
Dr. Carmelo Giacotto
Abstract
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.
Recommended Citation
Alagoa, M. (2018). Hedging with volatility. Jack Welch College of Business dissertation, Sacred Heart University, Fairfield CT.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Business Administration, Management, and Operations Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons
