英文标题：
《Tracking VIX with VIX Futures: Portfolio Construction and Performance》
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作者：
Tim Leung, Brian Ward
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最新提交年份：
2019
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英文摘要：
We study a series of static and dynamic portfolios of VIX futures and their effectiveness to track the VIX index. We derive each portfolio using optimization methods, and evaluate its tracking performance from both empirical and theoretical perspectives. Among our results, we show that static portfolios of different VIX futures fail to track VIX closely. VIX futures simply do not react quickly enough to movements in the spot VIX. In a discrete-time model, we design and implement a dynamic trading strategy that adjusts daily to optimally track VIX. The model is calibrated to historical data and a simulation study is performed to understand the properties exhibited by the strategy. In addition, comparing to the volatility ETN, VXX, we find that our dynamic strategy has a superior tracking performance.
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中文摘要：
我们研究了一系列波动率指数期货的静态和动态投资组合及其跟踪波动率指数的有效性。我们使用优化方法得出每个投资组合，并从经验和理论角度评估其跟踪性能。在我们的结果中，我们发现不同波动率指数期货的静态投资组合无法密切跟踪波动率指数。波动率指数期货对即期波动率指数的变动反应不够迅速。在一个离散时间模型中，我们设计并实现了一个每日调整的动态交易策略，以最佳跟踪波动率指数。根据历史数据对模型进行校准，并进行模拟研究，以了解该策略所显示的特性。此外，与波动性ETN、VXX相比，我们发现我们的动态策略具有更好的跟踪性能。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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