Turning tail risks into tailwinds
J Gava, F Guevara, J Turc - Journal of Portfolio Management, 2021 - search.proquest.com
This study compares a broad range of risk models for managing multi-asset portfolios. The
investment universe is extended to a range of systematic strategies with varying risk and …
investment universe is extended to a range of systematic strategies with varying risk and …
Exploiting the Gap Between Implied and Realized Volatility.
J Umarov, E Lütkebohmert… - Journal of …, 2024 - search.ebscohost.com
The authors develop an options trading strategy that takes advantage of the fact that options'
implied volatilities tend to be higher than their realized volatilities. Therefore, they …
implied volatilities tend to be higher than their realized volatilities. Therefore, they …
[引用][C] The Early Bird Catches the Intraday Trend
J Gava, R McNeal, J Turc - The Journal of Investing, 2021 - pm-research.com
Large movements during the night tend to have a lasting influence on the next trading
session. By following the resulting trends, investors can benefit from fluctuations in the …
session. By following the resulting trends, investors can benefit from fluctuations in the …
Efficient Use of Options for Tail Risk Hedging
We perform an empirical analysis of systematic trading strategies on options. Namely, we
focus on strategies which sell out of the money (OTM) call options to harvest the premium …
focus on strategies which sell out of the money (OTM) call options to harvest the premium …