How should the long-term investor harvest variance risk premiums?
J Dörries, O Korn, G Power - Available at SSRN 3989529, 2021 - papers.ssrn.com
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price
declines during market crises, calling into question their suitability for the long-term investor …
declines during market crises, calling into question their suitability for the long-term investor …
Tail Risk Hedging: The search for cheap options
We find that a simple heuristic of sorting liquid equity options by dollar price to construct a
portfolio of cheap put options leads to a surprisingly robust tail risk hedge-the superior …
portfolio of cheap put options leads to a surprisingly robust tail risk hedge-the superior …
[PDF][PDF] CFR Working Paper NO. 23-06 How Should the Long-term Investor Harvest Variance Risk Premiums? J. Dörries• O. Korn• GJ Power
HVR Premiums - cfr-cologne.de
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price
declines during market crises, calling into question their suitability for the longterm investor …
declines during market crises, calling into question their suitability for the longterm investor …
[PDF][PDF] Moment Risk Premiums in Option Markets: On Measurement, Structure, and Investment Implications
J Dörries - 2021 - ediss.uni-goettingen.de
Rational investors with reasonable utility functions are in general not risk-neutral. Indeed,
there is a broad strand of literature in psychology, decision theory, and economics that …
there is a broad strand of literature in psychology, decision theory, and economics that …
[PDF][PDF] How to Harvest Variance Risk Premiums for the Long-term Investor?
J Dörries, O Korn, GJ Power - fernuni-hagen.de
Derivative positions that aim to earn variance risk premiums are exposed to sharp price
declines during market crises, which calls into question their suitability for the long-term …
declines during market crises, which calls into question their suitability for the long-term …
[PDF][PDF] A study of forecasting performance of alternative option pricing models on option return and market volatility
J Ou - 2018 - scholars.hkbu.edu.hk
DOCTORAL THESIS A study of forecasting performance of alternative option pricing models on
option return and market volatility Page 1 Hong Kong Baptist University DOCTORAL THESIS A …
option return and market volatility Page 1 Hong Kong Baptist University DOCTORAL THESIS A …