Grigory Vilkov

Frankfurt School of Finance & Management

Professor of Finance

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

http://www.vilkov.net

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 787

in Total Papers Downloads

29,168

CITATIONS
Rank 4,049

SSRN RANKINGS

Top 4,049

in Total Papers Citations

201

Scholarly Papers (23)

1.

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 4,013 (2,190)
Citation 21

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

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 3,261 (3,063)
Citation 20

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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 (569,652)
Citation 2
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,820 (4,021)
Citation 2

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

4.

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 - Finance and Frankfurt School of Finance & Management
Downloads 2,763 (4,167)
Citation 3

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

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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 1,619 (9,993)
Citation 17

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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 - Center and Faculty of Economics and Business Administration, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 915 (24,079)
Citation 22

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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 2,340 (5,496)
Citation 39

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

7.

Asymmetric Volatility Risk: Evidence from Option Markets

Number of pages: 34 Posted: 15 Sep 2013 Last Revised: 16 Jul 2018
Jens Carsten Jackwerth and Grigory Vilkov
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 1,306 (14,349)
Citation 5

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Asymmetric volatility, SPX options, VIX options, asymmetric volatility implied correlation, leverage effect, trading strategy

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 1,205 (16,256)
Citation 5

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

9.

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 - Finance, Goethe University Frankfurt - Research Center SAFE and Frankfurt School of Finance & Management
Downloads 1,087 (19,001)

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

10.

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 1,025 (20,728)
Citation 2

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

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 614 (41,699)
Citation 2

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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 382 (75,655)
Citation 4

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

12.

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 965 (22,637)
Citation 6

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

13.

Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

Number of pages: 54 Posted: 29 Jan 2016 Last Revised: 16 Sep 2017
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 883 (25,856)
Citation 4

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

14.

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 671 (37,577)
Citation 3

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

15.

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 573 (46,340)
Citation 2

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

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 - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 370 (78,534)

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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 - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 134 (213,708)
Citation 1

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

17.
Downloads 414 ( 69,442)
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 414 (68,804)
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

18.

Carbon Tail Risk

Number of pages: 50 Posted: 19 Jul 2018 Last Revised: 03 Mar 2019
Emirhan Ilhan, Zacharias Sautner and Grigory Vilkov
Frankfurt School of Finance & Management, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads 392 (74,325)
Citation 3

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carbon risk, tail risk, climate finance, climate risk

The Implications of Financial Innovation for Capital Markets and Household Welfare

INSEAD Working Paper No. 2017/52/FIN
Number of pages: 43 Posted: 09 Aug 2017 Last Revised: 22 Aug 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 383 (75,406)
Citation 1

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household finance, household portfolio choice, wealth inequality, differences in beliefs, parameter uncertainty, Bayesian learning, recursive utility.

The Implications of Financial Innovation for Capital Markets and Household Welfare

CEPR Discussion Paper No. DP13137
Number of pages: 46 Posted: 17 Sep 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
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Bayesian Learning, differences in beliefs, household finance, household portfolio choice, parameter uncertainty, recursive utility, Wealth Inequality

20.

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 350 (84,475)
Citation 1

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parameter risk, hedging, microstructural noise, stochastic volatility

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 - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 340 (86,727)
Citation 2

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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 - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
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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: 46 Posted: 12 Dec 2013 Last Revised: 11 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 178 (167,961)
Citation 6

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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: 48 Posted: 18 Feb 2014 Last Revised: 14 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 150 (194,877)
Citation 3

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liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

23.

Correlation Risk, Strings and Asset Prices

CEPR Discussion Paper No. DP13873
Number of pages: 48 Posted: 02 Aug 2019
Walter Distaso, Antonio Mele and Grigory Vilkov
Imperial College Business School, USI Università della Svizzera italiana and Frankfurt School of Finance & Management
Downloads 0 (667,153)
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arbitrage pricing, correlation premium, correlation-risk premium, cross-section of returns, implied correlation, string models