Search Results - subject:"Variance Factor"

How should the long-term investor harvest variance risk premiums?

Dörries, Julian; Korn, Olaf; Power, Gabriel J. - 2023

Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...

Persistent link: https://www.econbiz.de/10014420677

How should the long-term investor harvest variance risk premiums?

Dörries, Julian; Korn, Olaf; Power, Gabriel J. - 2023

Persistent link: https://www.econbiz.de/10014384596

Moment risk premiums in option markets : on measurement, structure, and investment implications

Dörries, Julian - 2021

Rationale Anleger sind im Allgemeinen risikoavers. Eine wichtige Implikation dieser Risikoaversion ist, dass Anleger für bestimmte Risiken, die sie eingehen, eine Kompensation verlangen – Risikoprämien. Ein Beispiel für solche Risikoprämien sind Momentenrisikoprämien. Sie sind definiert...

Persistent link: https://www.econbiz.de/10012816290

Inference in asset pricing models with a low-variance factor

Shang, Hua - In: Journal of Banking & Finance 37 (2013) 3, pp. 1046-1060

This paper concerns with the effects of including a low-variance factor in an asset pricing model. When a low-variance … significantly different from zero. We recommend Kleibergen’s (2009)FAR statistic when there is a low-variance factor included in an … factor is present, the commonly applied Fama–MacBeth two-pass regression procedure is very likely to yield misleading results …

Persistent link: https://www.econbiz.de/10010608664

Inference in asset pricing models with a low-variance factor

Shang, Hua - In: Journal of banking & finance 37 (2013) 3, pp. 1046-1060

Persistent link: https://www.econbiz.de/10009708711