Roni Israelov

Independent

United States

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 2,152

SSRN RANKINGS

Top 2,152

in Total Papers Downloads

27,342

SSRN CITATIONS
Rank 27,107

SSRN RANKINGS

Top 27,107

in Total Papers Citations

30

CROSSREF CITATIONS

13

Scholarly Papers (23)

1.

Which Index Options Should You Sell?

Number of pages: 35 Posted: 28 Jun 2017 Last Revised: 03 Nov 2022
Roni Israelov and Harsha Tummala
Independent and AQR Capital Management, LLC
Downloads 4,383 (4,341)
Citation 1

Abstract:

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Options, Volatility Risk Premium, Variance Risk Premium, Covered Call, Covered Calls, Call Overwriting, Overwriting, BuyWrite, Buy-Write, PutWrite, Put-Write, Variance Swap, Variance Swaps, Option Selection, Option Portfolio Construction, Option Selling, Volatility Selling, Short Volatility

2.

Covered Calls Uncovered

Financial Analysts Journal, Vol. 71, No. 6, November/December 2015
Number of pages: 24 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017
Roni Israelov and Lars N Nielsen
Independent and AQR Capital Management, LLC
Downloads 3,589 (6,056)
Citation 4

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

3.

Forecasting the Distribution of Option Returns

Number of pages: 66 Posted: 13 Sep 2017
Roni Israelov and Bryan T. Kelly
Independent and Yale SOM
Downloads 2,793 (8,979)
Citation 11

Abstract:

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4.

Give Credit Where Credit is Due: What Explains Corporate Bond Returns?

Number of pages: 54 Posted: 24 Apr 2019 Last Revised: 10 Jun 2019
Roni Israelov
Independent
Downloads 2,601 (10,098)

Abstract:

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Corporate Bonds, Credit, Credit Spreads, Credit Risk, Options, Investment Grade, High Yield, Credit Puzzle, Volatility Risk Premium, Variance Risk Premium, PutWrite, Put-Write, Covered Calls, Covered Call, BuyWrite, Buy-Write, CDS, Implied Volatility, VIX

5.

Covered Call Strategies: One Fact and Eight Myths

Financial Analysts Journal, Vol. 70, No. 6, 2014
Number of pages: 17 Posted: 04 Jun 2014 Last Revised: 27 Jan 2017
Roni Israelov and Lars N Nielsen
Independent and AQR Capital Management, LLC
Downloads 2,435 (11,188)
Citation 3

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

6.

Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

Number of pages: 24 Posted: 26 Sep 2018 Last Revised: 17 Oct 2018
Roni Israelov and Harsha Tummala
Independent and AQR Capital Management, LLC
Downloads 2,181 (13,379)

Abstract:

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

7.

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, Independent and AQR Capital Management, LLC
Downloads 2,028 (14,990)
Citation 2

Abstract:

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

8.

Pathetic Protection: The Elusive Benefits of Protective Puts

Number of pages: 41 Posted: 23 Mar 2017
Roni Israelov
Independent
Downloads 1,806 (18,015)
Citation 2

Abstract:

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Option, Options, Put Option, Protective Put, Put Protection, Protection, Portfolio Protection, Volatility Risk Premium, Variance Risk Premium, Insurance, Insurance Risk Premium, Tail Risk, Tail Protection, Crash Risk

9.

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
Independent, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 1,439 (25,474)
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

10.

PutWrite versus BuyWrite: Yes, Put-Call Parity Holds Here Too

Number of pages: 9 Posted: 09 Jan 2017 Last Revised: 13 Feb 2017
Roni Israelov
Independent
Downloads 1,283 (30,223)

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

11.

Still Not Cheap: Portfolio Protection in Calm Markets

Number of pages: 25 Posted: 17 Mar 2015 Last Revised: 27 Jan 2017
Roni Israelov and Lars N Nielsen
Independent and AQR Capital Management, LLC
Downloads 1,240 (31,722)
Citation 7

Abstract:

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

12.

Optimized Tax Loss Harvesting: A Simple Algorithm and Framework

Number of pages: 34 Posted: 18 Jul 2022
Roni Israelov and Jason Lu
Independent and International Monetary Fund (IMF) - Research Department
Downloads 836 (55,291)

Abstract:

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Direct Indexing; Loss Harvesting; Tax Loss Harvesting; Tax Alpha; Tax Efficiency; Tax Optimization; Tax-Aware Investing

13.

An Alternative Option to Portfolio Rebalancing

Number of pages: 34 Posted: 01 Nov 2017
Roni Israelov and Harsha Tummala
Independent and AQR Capital Management, LLC
Downloads 642 (78,062)

Abstract:

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options, rebalancing, rebalanced portfolio, volatility risk premium, variance risk premium

14.

Combining Empirical Likelihood and Generalized Method of Moments Estimators: Asymptotics and Higher Order Bias

Number of pages: 15 Posted: 19 Jun 2014
Roni Israelov and Steven Lugauer
Independent and University of Kentucky - Department of Economics
Downloads 86 (539,315)

Abstract:

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Generalized Method of Moments, Empirical Likelihood

15.

A Devil's Bargain: When Generating Income Undermines Investment Returns

Forthcoming, The Journal of Alternative Investments, https://www.pm-research.com/content/iijaltinv/early/2024/03/10/jai20241211
Posted: 27 Oct 2023 Last Revised: 03 Apr 2024
Roni Israelov and David Nze Ndong
Independent and affiliation not provided to SSRN

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, Yield, Income, Derivative Income

16.

When Less is More: Partial Rebalancing for Better Portfolios

Posted: 28 Sep 2023
Stephanie Lo and Roni Israelov
NDVR and Independent

Abstract:

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portfolio rebalancing, optimal portfolio rebalancing

17.

Exclude with Impunity: Personalized Indexing and Stock Restrictions

Posted: 06 Sep 2023
Yin Chen and Roni Israelov
NDVR, Inc. and Independent

Abstract:

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Equities, Direct Indexing, Custom Indexing, Portfolio Construction, Socially Responsible Investing, Passive Portfolio, Active Investment

18.

Equity Tail Protection Strategies Before, During, and After COVID

Posted: 10 May 2023 Last Revised: 25 Oct 2023
Roni Israelov and David Nze Ndong
Independent and affiliation not provided to SSRN

Abstract:

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Options, Portfolio Protection, Tail Hedging, Tail Protection, Tail Risk Hedging, Put Protection, Long Volatility, VIX Futures, Volatility Risk Premium

19.

A Tax-Loss Harvesting Horserace: Direct Indexing vs. ETFs

The Journal of Beta Investment Strategies
Posted: 09 Feb 2023 Last Revised: 10 Jul 2023
Roni Israelov and Jason Lu
Independent and International Monetary Fund (IMF) - Research Department

Abstract:

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Direct Indexing; Loss Harvesting; Tax Loss Harvesting; Tax Alpha; Tax Efficiency; Tax Optimization; Tax-Aware Investing

20.

The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck

https://www.pm-research.com/content/iijaltinv
Posted: 25 Jan 2023 Last Revised: 01 Apr 2024
Newfound Research, Newfound Research, Independent and affiliation not provided to SSRN

Abstract:

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Calendar-Based Rebalancing, Options, Portfolio Construction, Put-Spread Collars, Rebalance Timing Luck, Systematic Investing

21.

Risk and Return of Equity Index Collar Strategies

Posted: 18 Dec 2015 Last Revised: 27 Jan 2017
Roni Israelov and Matthew Klein
Independent 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

To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors

Financial Analysts Journal, Vol. 67, No. 5, 2011
Posted: 30 Sep 2011
Roni Israelov and Michael Katz
Independent and AQR Capital Management, LLC

Abstract:

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Portfolio Management, Portfolio Construction and Revision, Portfolio Monitoring and Rebalancing, Equity Investments

To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors

Posted: 08 Apr 2010 Last Revised: 27 Jan 2017
Roni Israelov and Michael Katz
Independent and AQR Capital Management, LLC

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High Frequency, Short-Term, Long-Term, Trading, Trading Costs, Transaction Costs, Turnover, Liquidity, Informed Trading, Optimal Portfolio, Portfolio Choice, Rebalance

International Diversification Works (Eventually)

Financial Analysts Journal, Vol. 67, No. 3, 2011
Posted: 11 Jun 2011
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, Independent and AQR Capital Management, LLC

Abstract:

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equity investments, equity market valuation, return analysis, international equity investing, portfolio management, portfolio construction and revision, diversification issues

International Diversification Works (Eventually)

Posted: 05 Mar 2010 Last Revised: 27 Jan 2017
Clifford S. Asness, Roni Israelov and John M. Liew
AQR Capital Management, LLC, Independent and AQR Capital Management, LLC

Abstract:

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Diversification, International Diversification, Global Diversification, Home Bias