In this diploma thesis, the volatility of equity assets is examined to assess their applicability as a separate asset class. For this purpose, different measures as well as instruments providing exposure are introduced and tested to show their practicality in a real world environment. Examples are hereby plain-vanilla options, straddles, variance swaps and derivatives on volatility indices. In addition, certain historically observable characteristics are discussed and empirically verified, such as mean-reversion, a distinct volatility skew or negative correlation to several equity returns. Furthermore, these properties will be explored to ascertain two different investment ideas. In the first case, a downside tail risk hedge is sought-for in order to mitigate the massive drawdowns and losses an equity investor faces. The second strategy tries to capture a positive return independent of market movements. Both approaches are tested in regard to their practicalness on four major equity benchmark indices from Germany, Europe, Japan and America.      «

In this diploma thesis, the volatility of equity assets is examined to assess their applicability as a separate asset class. For this purpose, different measures as well as instruments providing exposure are introduced and tested to show their practicality in a real world environment. Examples are hereby plain-vanilla options, straddles, variance swaps and derivatives on volatility indices. In addition, certain historically observable characteristics are discussed and empirically verified, such...     »