Alexandre Burgues

Amundi Asset Management

90 Boulevard Pasteur

Paris, 75015

France

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Volatility Exposure for Strategic Asset Allocation

Journal of Portfolio Management, Vol. 36, No. 3, pp. 105-116, Spring 2010, https://doi.org/10.3905/jpm.2010.36.3.105
Posted: 21 May 2019
Ombretta Signori, Marie Briere and Alexandre Burgues
AXA Investment Managers, Amundi Asset Management and Amundi Asset Management

Abstract:

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variance swap, volatility risk premium, higher moments, portfolio choice, Value at Risk