Matthew Klein

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 22,783

SSRN RANKINGS

Top 22,783

in Total Papers Downloads

2,744

SSRN CITATIONS

4

CROSSREF CITATIONS

3

Scholarly Papers (3)

1.

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 1,480 (15,650)
Citation 1

Abstract:

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

2.
Downloads 1,264 ( 19,868)
Citation 3

Covering the World: Global Evidence on Covered Calls

Number of pages: 24 Posted: 28 Jun 2017 Last Revised: 21 Jul 2017
Roni Israelov, Matthew Klein and Harsha Tummala
NDVR, Inc., AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,264 (19,534)
Citation 1

Abstract:

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Covered Call, Covered Calls, Call Overwriting, Overwriting, Options, Volatility Risk Premium, Variance Risk Premium, BuyWrite, Buy-Write, PutWrite, Put-Write

Covering the World: Global Evidence on Covered Calls

Journal of Risk, Forthcoming
Number of pages: 29 Posted: 21 Sep 2018
Roni Israelov, Matthew Klein and Harsha Tummala
NDVR, Inc., AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 0
Citation 2
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covered call, call overwriting, options, volatility risk premium, BuyWrite, PutWrite

3.

Risk and Return of Equity Index Collar Strategies

Posted: 18 Dec 2015 Last Revised: 27 Jan 2017
Roni Israelov and Matthew Klein
NDVR, Inc. and AQR Capital Management, LLC

Abstract:

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Collar, Collars, Index Collar, Index Collars, Covered Call, Covered Calls, Call Overwriting, Overwriting, Options, Volatility Risk Premium, Variance Risk Premium, BuyWrite, Buy-Write, PutWrite, Put-Write