Abstract The main goal of this research is to analyse the investment benefits from an incorporation of the volatility exposure to the diversified portfolio from the perspective of a Polish investor. Volatility, treated as a new asset class, may improve the performance of the portfolio due to its negative correlation with most types of assets. This topic has been widely investigated for the United States and Europe whereas the Polish market appears to be not heavily researched and this study may fill this gap. The research covers the period from October 2010 to July 2018 and is performed on daily close prices. To construct the portfolios the analysis uses the mean-variance framework and the naïve diversification approach. The comparison of risk-adjusted returns between investments with and without volatility exposure enables an answer to the research question about an improvement of the results by the addition of a non-standard asset to the diversified portfolios. The VXX is considered as the proxy for volatility as it is the most popular ETN which follows the volatility index derivatives with the given maturity. To test the robustness of the results the portfolios are constructed with a broad range of different parameters and assumptions imposed on the optimization procedure.

中文翻译：

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将波动性风险纳入多元化的投资组合中是否会改善投资结果？波兰内幕人士眼中的投资组合建设

摘要这项研究的主要目的是从波兰投资者的角度分析将波动性风险纳入多元化投资组合的投资收益。波动率被视为一种新的资产类别，由于它与大多数资产类型呈负相关关系，因此可以改善投资组合的绩效。在美国和欧洲，已经对该主题进行了广泛研究，而波兰市场似乎并未受到大量研究，这项研究可能会填补这一空白。这项研究涵盖2010年10月至2018年7月的期间，并按每日收盘价进行。为了构建投资组合，分析使用均值方差框架和朴素的多元化方法。比较有和没有波动率风险的投资之间的风险调整后收益，可以通过将非标准资产添加到多元化的投资组合中来解决有关改善结果的研究问题。VXX被认为是波动率的代名词，因为它是最受欢迎的ETN，它遵循具有给定期限的波动率指数导数。为了测试结果的鲁棒性，构建的投资组合具有广泛的不同参数和对优化程序施加的假设。