Still Not Cheap: Portfolio Protection in Calm Markets (Digest Summary):R. Israelov & L.N. Nielsen, Journal of Portfolio Management, Vol. 41, No. 4 (Spring 2015), 108-120.

Jackson, Antony (2015) Still Not Cheap: Portfolio Protection in Calm Markets (Digest Summary):R. Israelov & L.N. Nielsen, Journal of Portfolio Management, Vol. 41, No. 4 (Spring 2015), 108-120. In: UNSPECIFIED CFA Institute.

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Abstract

It is the volatility risk premium, defined as the excess of implied volatility over realized volatility, and not the absolute level of implied volatility, that determines whether put option portfolio protection is cheap or expensive.

Item Type: Book Section
Additional Information: CFA Digest Summary of 'Still Not Cheap: Portfolio Protection in Calm Markets'; R. Israelov & L.N. Nielsen; Journal of Portfolio Management, Vol. 41, No. 4 (Summer 2015), 108-120.
Faculty \ School: Faculty of Social Sciences > School of Economics
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Depositing User: Pure Connector
Date Deposited: 08 Mar 2017 01:44
Last Modified: 26 May 2020 23:42
URI: https://ueaeprints.uea.ac.uk/id/eprint/62894
DOI:

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