scholarly journals Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

2011 ◽  
Vol 160 (1) ◽  
pp. 235-245 ◽  
Author(s):  
Tim Bollerslev ◽  
Michael Gibson ◽  
Hao Zhou
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Volatility Risk ◽  
Dynamic Estimation

scholarly journals Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

2004 ◽  
Vol 2004 (56) ◽  
pp. 1-35 ◽  
Author(s):  
Tim Bollerslev ◽  
◽  
Michael S. Gibson ◽  
Hao Zhou
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Volatility Risk ◽  
Dynamic Estimation

Risk aversion, risk premia, and the labor margin with generalized recursive preferences

2018 ◽  
Vol 28 ◽  
pp. 290-321 ◽  
Author(s):  
Eric T. Swanson
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Recursive Preferences

Identifying Volatility Risk Premia from Fixed Income Asian Options

2008 ◽  
Author(s):  
Caio Almeida ◽  
Jose Vicente
Keyword(s):  
Risk Premia ◽  
Asian Options ◽  
Fixed Income ◽  
Volatility Risk

DE FINETTI ON RISK AVERSION

2009 ◽  
Vol 25 (2) ◽  
pp. 153-159
Author(s):  
Joseph B. Kadane ◽  
Gaia Bellone
Keyword(s):  
Risk Aversion ◽  
Absolute Risk ◽  
Risk Premia ◽  
Absolute Risk Aversion ◽  
Kenneth Arrow ◽  
De Finetti ◽  
Constant Absolute Risk Aversion ◽  
Special Case

According to Mark Rubinstein (2006) ‘In 1952, anticipating Kenneth Arrow and John Pratt by over a decade, he [de Finetti] formulated the notion of absolute risk aversion, used it in connection with risk premia for small bets, and discussed the special case of constant absolute risk aversion.’ The purpose of this note is to ascertain the extent to which this is true, and at the same time, to correct certain minor errors that appear in de Finetti's work.

scholarly journals Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences

2013 ◽  
pp. 01-45 ◽  
Author(s):  
Eric T. Swanson ◽  
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Recursive Preferences

Expected Currency Returns and Volatility Risk Premia

2016 ◽  
Author(s):  
Jose Renato Haas Ornelas
Keyword(s):  
Risk Premia ◽  
Volatility Risk

Implied risk aversion and volatility risk premiums

2011 ◽  
Vol 22 (1) ◽  
pp. 59-70 ◽  
Author(s):  
Sun-Joong Yoon ◽  
Suk Joon Byun
Keyword(s):  
Risk Aversion ◽  
Volatility Risk ◽  
Risk Premiums

scholarly journals Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing

2017 ◽  
Vol 52 (1) ◽  
pp. 277-303 ◽  
Author(s):  
José Afonso Faias ◽  
Pedro Santa-Clara
Keyword(s):  
Asset Allocation ◽  
Risk Premia ◽  
Volatility Risk ◽  
Short Sample ◽  
Option Returns ◽  
Portfolio Strategies ◽  
Portfolio Strategy ◽  
Out Of Sample ◽  
Index Option ◽  
Mean Variance

Traditional methods of asset allocation (such as mean–variance optimization) are not adequate for option portfolios because the distribution of returns is non-normal and the short sample of option returns available makes it difficult to estimate their distribution. We propose a method to optimize a portfolio of European options, held to maturity, with a myopic objective function that overcomes these limitations. In an out-of-sample exercise incorporating realistic transaction costs, the portfolio strategy delivers a Sharpe ratio of 0.82 with positive skewness. This performance is mostly obtained by exploiting mispricing between options and not by loading on jump or volatility risk premia.

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