Yuliya Plyakha

Universite du Luxembourg - School of Finance

4 Rue Albert Borschette

Luxembourg, L-1246

Luxembourg

  • Universite du Luxembourg - School of Finance

SCHOLARLY PAPERS

5

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SSRN CITATIONS
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Top 8,556

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87

CROSSREF CITATIONS

97

Scholarly Papers (5)

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1.

Equal or Value Weighting? Implications for Asset-Pricing Tests

In: Zopounidis, C., Benkraiem, R., Kalaitzoglou, I. (eds) Financial Risk Management and Modeling. Risk, Systems and Decisions. Springer, Cham. https://doi.org/10.1007/978-3-030-66691-0_9
Number of pages: 64 Posted: 21 Mar 2011 Last Revised: 03 Jul 2022
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 4,578 (3,712)
Citation 40

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

2.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

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Citation 74

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

​Journal of Financial and Quantitative Analysis, 2013, 48(6), 1813-1845
Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 29 Jun 2022
Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 3,855 (4,833)
Citation 23

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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
Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 15 (966,079)
Citation 9
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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 2,938 (7,710)
Citation 8

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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 752 (58,969)
Citation 4

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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 212 (247,176)

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