Frankfurt am Main, 60314
Frankfurt School of Finance & Management
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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7686.
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium
empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility
Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns
implied correlation, return predictability, index variance, variance risk premium, individual options
option-implied, correlation, beta, risk-return relation, CAPM, factor models, pairs trading
implied skewness, risk-neutral skewness, options, firm misvaluation, return predictability, beliefs
extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization
variance risk premium, variance swap, individual options, variance factors
stock options, portfolio analysis, hedge fund policy, implied volatility, skew risk
Asymmetric volatility, SPX options, VIX options, implied correlation, leverage effect
conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations
risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression
Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion
portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets
File name: DP10437.
alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs
Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium
liquidity premium, incomplete markets, portfolio choice, heterogeneous agents
parameter risk, hedging, microstructural noise, stochastic volatility
Financial Innovation, Heterogeneous Beliefs, Parameter Uncertainty, Rational Learning, Spillover Effects, Recursive Utility, Alternative Assets
Implied Correlation, Factor Model, Market Factor, Factor Exposure, VIX, ETF, Sectors
stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following
Asset prices, beta, CAPM, hedging, asset allocation, portfolio management, mutual funds
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