Lorenzo Schoenleber

Frankfurt School of Finance & Management gemeinnützige GmbH

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

http://sites.google.com/view/lorenzo-schoenleber/menu

SCHOLARLY PAPERS

3

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6

Scholarly Papers (3)

1.

Option-Implied Correlations, Factor Models, and Market Risk

INSEAD Working Paper No. 2017/20/FIN
Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Mar 2017
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 1,063 (20,581)
Citation 2

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Implied Correlation, Factor Model, Market Factor, Factor Exposure, VIX, ETF, Sectors

2.
Downloads 481 ( 60,780)
Citation 2

Expected Correlation and Future Market Returns

Number of pages: 53 Posted: 10 Feb 2018 Last Revised: 05 Jul 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 481 (60,132)
Citation 2

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(option-)implied correlation, return predictability, idiosyncratic risk, option-implied information, contemporaneous betas

Expected Correlation and Future Market Returns

CEPR Discussion Paper No. DP12760
Number of pages: 48 Posted: 06 Mar 2018 Last Revised: 04 Jan 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
INSEAD - Finance, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
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contemporaneous betas, correlation risk premium, expected (implied) correlation, Idiosyncratic Risk, option-implied information, return predictability

3.

Correlations, Value Factor Returns, and Growth Options

Number of pages: 88 Posted: 15 Nov 2019 Last Revised: 13 Jan 2020
Lorenzo Schoenleber
Frankfurt School of Finance & Management gemeinnützige GmbH
Downloads 123 (237,478)

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implied correlations, production model, value premium, growth options, factor return predictability, option-implied information, trading strategy, diversification, factor risk