Benjamin Hood

Parametric Portfolio Associates, LLC

7310 Columbia Center

701 5th Avenue

Seattle, WA 98104

United States

  • Parametric Portfolio Associates, LLC

SCHOLARLY PAPERS

3

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42

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43

Scholarly Papers (3)

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1.

Risk Everywhere: Modeling and Managing Volatility

Downloads 3,347 ( 4,896)
Citation 41

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,344 (4,814)
Citation 13

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Market and volatility risk, high-frequency data, realized volatility, risk modeling and forecasting, volatility trading, risk targeting, realized utility

Risk Everywhere: Modeling and Managing Volatility

CEPR Discussion Paper No. DP12687
Number of pages: 57 Posted: 14 Feb 2018
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (898,222)
Citation 21
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

2.

Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

Number of pages: 55 Posted: 16 Aug 2019
Benjamin Hood, John Huss, Roni Israelov and Matthew Klein
Parametric Portfolio Associates, LLC, AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,673 (15,006)
Citation 1

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Risk Parity; Volatility Control; Volatility; Short Volatility; Volatility Risk Premium; Variance Risk Premium; Options; Hedging

3.

Stocks in the Short Run

Number of pages: 65 Posted: 24 Jun 2011
Bryan Ellickson, Benjamin Hood, Tin Shing Liu, Duke Whang and Peilan Zhou
University of California, Los Angeles (UCLA) - Department of Economics, Parametric Portfolio Associates, LLC, University of California, Los Angeles (UCLA), University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 184 (227,421)
Citation 3

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discrete observation, intraday volatility estimation, quadratic variation, realized volatility, Heston, DJIA, SPDR, VIX