Grigory Vilkov

Frankfurt School of Finance & Management

Professor of Finance

Sonnemannstra├če 9-11

Frankfurt am Main, 60314

Germany

http://www.vilkov.net

SCHOLARLY PAPERS

19

DOWNLOADS
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CITATIONS
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Top 4,810

in Total Papers Citations

109

Scholarly Papers (19)

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 3,012 (2,660)
Citation 12

Abstract:

mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

CEPR Discussion Paper No. DP7686
Number of pages: 49 Posted: 01 Mar 2010
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 15 (487,700)
Citation 13

Abstract:

mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

2.

Equal or Value Weighting? Implications for Asset-Pricing Tests

Number of pages: 64 Posted: 21 Mar 2011 Last Revised: 29 Jan 2016
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 2,638 (1,962)
Citation 1

Abstract:

empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility

3.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings
Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 14 Jul 2008
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Department of Finance, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,298 (3,726)
Citation 38

Abstract:

Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns

Option-Implied Correlations and the Price of Correlation Risk

Advanced Risk & Portfolio Management Paper
Number of pages: 47 Posted: 26 Oct 2012 Last Revised: 19 Apr 2016
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Department of Finance, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 1,432 (9,520)
Citation 28

Abstract:

implied correlation, return predictability, index variance, variance risk premium, individual options

Option-Implied Correlations and the Price of Correlation Risk

Netspar Discussion Paper No. 07/2013-061
Number of pages: 48 Posted: 26 Nov 2013
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Department of Finance, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 533 (40,797)
Citation 28

Abstract:

5.

Measuring Equity Risk with Option-Implied Correlations

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 16 Nov 2008 Last Revised: 27 Dec 2012
Adrian Buss and Grigory Vilkov
INSEAD and Frankfurt School of Finance & Management
Downloads 1,919 (4,139)
Citation 8

Abstract:

option-implied, correlation, beta, risk-return relation, CAPM, factor models, pairs trading

6.

Risk-Neutral Skewness: Return Predictability and Its Sources

Number of pages: 53 Posted: 16 Nov 2008 Last Revised: 14 Mar 2012
Zahid Rehman and Grigory Vilkov
BlackRock and Frankfurt School of Finance & Management
Downloads 1,438 (6,272)
Citation 12

Abstract:

implied skewness, risk-neutral skewness, options, firm misvaluation, return predictability, beliefs

Option-Implied Information and Predictability of Extreme Returns

Number of pages: 37 Posted: 16 Sep 2012 Last Revised: 25 Sep 2012
Grigory Vilkov and Yan Xiao
Frankfurt School of Finance & Management and Goethe University Frankfurt
Downloads 554 (38,800)

Abstract:

extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization

Option-Implied Information and Predictability of Extreme Returns

SAFE Working Paper No. 5
Number of pages: 40 Posted: 01 Feb 2013
Grigory Vilkov and Yan Xiao
Frankfurt School of Finance & Management and Goethe University Frankfurt
Downloads 299 (82,201)

Abstract:

extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization

8.

Variance Risk Premium Demystified

Number of pages: 32 Posted: 16 Mar 2006 Last Revised: 28 Aug 2008
Grigory Vilkov
Frankfurt School of Finance & Management
Downloads 713 (19,984)

Abstract:

variance risk premium, variance swap, individual options, variance factors

9.

Asymmetric Volatility Risk: Evidence from Option Markets

Number of pages: 50 Posted: 15 Sep 2013 Last Revised: 18 Sep 2015
Jens Carsten Jackwerth and Grigory Vilkov
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 541 (22,744)
Citation 1

Abstract:

Asymmetric volatility, SPX options, VIX options, implied correlation, leverage effect

10.

CAPM with Option-Implied Betas: Another Rescue Attempt

Number of pages: 48 Posted: 14 Feb 2009 Last Revised: 18 Mar 2009
Adrian Buss, Christian Schlag and Grigory Vilkov
INSEAD, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 531 (30,594)

Abstract:

conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations

11.

The Dynamics of Risk-Neutral Implied Moments: Evidence from Individual Options

Number of pages: 32 Posted: 10 Sep 2009 Last Revised: 02 Feb 2010
Alexandra Hansis, Christian Schlag and Grigory Vilkov
Goethe University Frankfurt - House of Finance, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 437 (36,793)
Citation 2

Abstract:

risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression

12.

Portfolio Policies with Stock Options

Number of pages: 40 Posted: 04 Mar 2008 Last Revised: 15 Feb 2009
Yuliya Plyakha and Grigory Vilkov
Universite du Luxembourg - School of Finance and Frankfurt School of Finance & Management
Downloads 427 (54,527)
Citation 3

Abstract:

stock options, portfolio analysis, hedge fund policy, implied volatility, skew risk

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

INSEAD Working Paper No. 2016/29/FIN
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 05 May 2016
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
INSEAD, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 287 (86,476)

Abstract:

Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

SAFE Working Paper No. 124
Number of pages: 59 Posted: 17 Nov 2016
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
INSEAD, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 52 (328,840)

Abstract:

Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Number of pages: 59 Posted: 15 Dec 2014 Last Revised: 12 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 292 (84,461)
Citation 1

Abstract:

portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

CEPR Discussion Paper No. DP10437
Number of pages: 61 Posted: 24 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
Citation 1

Abstract:

alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

INSEAD Working Paper No. 2014/01/FIN
Number of pages: 59 Posted: 12 Dec 2013
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 147 (165,480)

Abstract:

Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

SAFE Working Paper No. 41
Number of pages: 60 Posted: 18 Feb 2014
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 102 (219,667)

Abstract:

liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

16.

Hedging Options in the Presence of Microstructural Noise

Number of pages: 27 Posted: 03 Mar 2008
David Horn, Eva Schneider and Grigory Vilkov
Goethe University Frankfurt - Department of Finance, Goethe University Frankfurt - Department of Finance and Frankfurt School of Finance & Management
Downloads 194 (115,422)
Citation 1

Abstract:

parameter risk, hedging, microstructural noise, stochastic volatility

17.

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, Frankfurt School of Finance & Management and Frankfurt School of Finance & Management
Downloads 0 (43,327)

Abstract:

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

18.

Why Do Equal-Weighted Portfolios Outperform Value-Weighted Portfolios?

Number of pages: 41 Posted: 29 Jan 2016
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0 (99,638)

Abstract:

stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following

19.

Non-Myopic Betas

Number of pages: 60 Posted: 25 Nov 2015 Last Revised: 11 Apr 2017
Semyon Malamud and Grigory Vilkov
Ecole Polytechnique Federale de Lausanne and Frankfurt School of Finance & Management
Downloads 0 (116,503)

Abstract:

Asset prices, beta, CAPM, hedging, asset allocation, portfolio management, mutual funds