Alexandra Hansis

Goethe University Frankfurt - House of Finance

Campus Westend, Grueneburgplatz 1

Uni-Postfach H 13

Frankfurt, 60323

Germany

SCHOLARLY PAPERS

5

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Top 28,567

in Total Papers Downloads

1,666

SSRN CITATIONS
Rank 37,052

SSRN RANKINGS

Top 37,052

in Total Papers Citations

1

CROSSREF CITATIONS

15

Scholarly Papers (5)

1.

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, Leibniz Institute for Financial Research SAFE and Frankfurt School of Finance & Management
Downloads 972 (23,344)
Citation 8

Abstract:

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

Expected Option Returns and the Structure of Jump Risk Premia

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 11 Feb 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Leibniz Institute for Financial Research SAFE
Downloads 174 (177,767)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

Expected Option Returns and the Structure of Jump Risk Premia

AFA 2010 Atlanta Meetings Paper
Number of pages: 40 Posted: 18 Mar 2009
Nicole Branger, Alexandra Hansis and Christian Schlag
University of Muenster - Finance Center Muenster, Goethe University Frankfurt - House of Finance and Leibniz Institute for Financial Research SAFE
Downloads 144 (209,050)
Citation 2

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Option returns, put puzzle, jump risk premia, volatility risk premium

3.

Affine Versus Non-Affine Stochastic Volatility and the Impact on Asset Allocation

Number of pages: 47 Posted: 01 Feb 2010 Last Revised: 18 Mar 2010
Alexandra Hansis
Goethe University Frankfurt - House of Finance
Downloads 194 (161,217)
Citation 1

Abstract:

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stochastic volatility, jumps, non-affine models, asset allocation, model misspecification

4.

Asset Allocation: How Much Does Model Choice Matter?

Number of pages: 46 Posted: 18 Mar 2009 Last Revised: 03 Feb 2010
Nicole Branger and Alexandra Hansis
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 94 (284,705)
Citation 3

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stochastic volatility, jumps, market prices of risk, asset allocation, buy-and-hold strategy, model mis-specification

5.

Earning the Right Premium on the Right Factor in Portfolio Planning

Number of pages: 38 Posted: 01 Feb 2010 Last Revised: 17 Mar 2010
Nicole Branger and Alexandra Hansis
University of Muenster - Finance Center Muenster and Goethe University Frankfurt - House of Finance
Downloads 88 (296,800)
Citation 2

Abstract:

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stochastic volatility, jumps, market prices of risk, asset allocation, optimal exposures