Back
 JAMP  Vol.3 No.7 , July 2015
Application of Volatility in Portfolio Construction
Abstract: We studied the CBOE Market Volatility Index from 1995 to 2004 and the Cross-Sectional Volatility of MSCI US and MSCI AC Asia ex Japan of the same period. Tracking Error calculations and Market Volatility Analyses were performed. We selected a portfolio, Dragon, for Risk Analysis, Risk Decomposition and Risk Characteristics identification purposes. A conclusion relating Dragon’s Tracking Error and its Portfolio Size was drawn.
Cite this paper: Ha, M. , Liu, G. and Zheng, L. (2015) Application of Volatility in Portfolio Construction. Journal of Applied Mathematics and Physics, 3, 808-813. doi: 10.4236/jamp.2015.37099.
References

[1]   Bodie, Z., Kane, A. and Marcus, A.J. (2011) Investments and Portfolio Management. 9th Edition, McGraw-Hill.

[2]   Chance, D.M. (2003) Analysis of Derivatives for the CFA Program. AIMR.

[3]   Maginn, J.L. and Tuttle, D.L. (1990) Managing Investment Portfolio. 2nd Edition, Warren, Gorham & Lamont.

[4]   Grinold, R.C. and Kahn, R.N. (1995) Active Portfolio Management. 1st Edition, Probus.

[5]   Chew, D.H. (1999) The New Corporate Finance Where Theory Meets Practice. 2nd Edition, Irwin McGraw-Hill.

[6]   Crouhy, M., Galai, D. and Mark, R. (2001) Risk Management. McGraw-Hill.

[7]   Vernimmen, P., Quiry, P., Dallocchio, M., Le Fur, Y. and Salvi, A. (2011) Corporate Finance Theory and Practice. 3rd Edition, Wiley.

[8]   Elton, E.J., Gruber, M.J., Brown, S.J. and Goetzmann, W.N. (2011) Modern Portfolio Theory and Investment Analysis. 8th Edition, Wiley.

[9]   Ha, M. (2013) Lecture Notes for Course: Financial Risk Management. Xian Jiaotong-Liverpool University.

[10]   Miller, M.B. (2012) Mathematics and Statistics for Financial Risk Management. Wiley.

[11]   Panjer, H.H. (1998) Financial Economics. The Actuarial Foundation.

[12]   Zenios, S.A. (1993) Financial Optimization. Cambridge. http://dx.doi.org/10.1017/CBO9780511522130

 
 
Top