We introduce a regime-conditional regression model to measure the risk profile of systematic investment strategies. We apply this model to classify systematic strategies into defensive and risk-seeking strategies with either positive or negative risk-premia alpha. Using the performance of the SG...

We introduce the beta stochastic volatility model and discuss empirical features of this model and its calibration. This model is appealing because, first, its parameters can be easily understood and calibrated and, second, it produces steeper forward skews, compared to traditional stochastic...