Brière, Marie; Burgues, Alexandre; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2010
volatility risk premium strategies. An analytical framework, which offers pragmatic solutions for long-term investors who seek … exposure to volatility, is used to calibrate and assess the risk-return profiles of portfolios. The benefit of volatility … exposure for a conventional portfolio is shown through a mean-modified value at risk portfolio optimization. A pure volatility …