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Vilkov, Grigory's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
10,830 |
Total
Citations
107 |
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1.
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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
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DeMiguel, Victor
London Business School Plyakha, Yuliya
Goethe University Frankfurt am Main Uppal , Raman
EDHEC Business School Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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Posted:
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16 Sep 09
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Last Revised:
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18 Jun 12
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2,149
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12
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DeMiguel, Victor
London Business School Plyakha, Yuliya
Goethe University Frankfurt am Main Uppal , Raman
EDHEC Business School Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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13
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12
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium
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DeMiguel, Victor
London Business School Plyakha, Yuliya
Goethe University Frankfurt am Main Uppal , Raman
EDHEC Business School Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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16 Sep 09
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Last Revised:
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18 Jun 12
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2,136
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12
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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization
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2.
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Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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25 Feb 05
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Last Revised:
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14 Jul 08
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2,089
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38
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Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns
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3.
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Buss, Adrian
INSEAD - Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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16 Nov 08
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Last Revised:
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27 Dec 12
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1,539
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7
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option-implied, correlation, beta, risk-return relation, CAPM, factor models, pairs trading
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4.
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Plyakha, Yuliya
Goethe University Frankfurt am Main Uppal , Raman
EDHEC Business School Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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21 Mar 11
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Last Revised:
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18 Oct 12
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1,229
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3
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stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following
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5.
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Rehman, Zahid
BlackRock Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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16 Nov 08
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Last Revised:
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14 Mar 12
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1,141
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11
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implied skewness, risk-neutral skewness, options, firm misvaluation, return predictability, beliefs
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6.
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Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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16 Mar 06
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Last Revised:
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28 Aug 08
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622
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1
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variance risk premium, variance swap, individual options, variance factors
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7.
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Driessen, Joost
Tilburg University - Department of Finance Maenhout, Pascal J.
INSEAD - Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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454
(29,001)
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28
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implied correlation, return predictability, index variance, variance risk premium, individual options
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8.
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Buss, Adrian
INSEAD - Finance Schlag, Christian
Goethe University Frankfurt - Department of Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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14 Feb 09
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Last Revised:
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18 Mar 09
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428
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conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations
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9.
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Option-Implied Information and Predictability of Extreme Returns
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Versions (2)
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Vilkov, Grigory
Goethe University Frankfurt - Department of Finance Xiao, Yan
Goethe University Frankfurt
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Posted:
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16 Sep 12
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Last Revised:
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01 Feb 13
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348
(40,615)
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Vilkov, Grigory
Goethe University Frankfurt - Department of Finance Xiao, Yan
Goethe University Frankfurt
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84
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extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization
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Vilkov, Grigory
Goethe University Frankfurt - Department of Finance Xiao, Yan
Goethe University Frankfurt
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16 Sep 12
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Last Revised:
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25 Sep 12
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264
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extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization
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10.
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Hansis, Alexandra
Goethe University Frankfurt - House of Finance Schlag, Christian
Goethe University Frankfurt - Department of Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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10 Sep 09
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Last Revised:
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02 Feb 10
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327
(43,599)
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2
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risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression
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11.
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Plyakha, Yuliya
Goethe University Frankfurt am Main Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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04 Mar 08
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Last Revised:
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15 Feb 09
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326
(43,750)
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2
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stock options, portfolio analysis, hedge fund policy, implied volatility, skew risk
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12.
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Horn, David
Goethe University Frankfurt - Department of Finance Schneider, Eva
Goethe University Frankfurt - Department of Finance Vilkov, Grigory
Goethe University Frankfurt - Department of Finance
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178
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1
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parameter risk, hedging, microstructural noise, stochastic volatility
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