Yuliya Plyakha

Universite du Luxembourg - School of Finance

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

SCHOLARLY PAPERS

5

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Rank 4,421

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Top 4,421

in Total Papers Downloads

8,950

SSRN RANKINGS

Top 15,757

in Total Papers Citations

22

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Scholarly Papers (5)

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 3,990 (2,178)

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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 3,250 (3,024)

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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 (561,809)
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

3.

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 848 (26,956)

Abstract:

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

4.

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 667 (37,405)

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

5.

Benchmarking Benchmarks: Much Ado About Nothing

Number of pages: 41 Posted: 08 Dec 2015
Yuliya Plyakha
Universite du Luxembourg - School of Finance
Downloads 180 (164,269)

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benchmarking, fundamentals-based index, equal-risk contribution, minimum-variance, portfolio optimization, market efficiency