Sharpe-optimal volatility futures carry
Year of publication: |
2024
|
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Authors: | Uhl, Björn |
Published in: |
The journal of asset management : a major new, international quarterly journal for the financial community. - London [u.a.] : Henry Stewart Publ., ISSN 1479-179X, ZDB-ID 2039445-7. - Vol. 25.2024, 3, p. 288-302
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Subject: | Carry | Futures | Term structure | VIX | Volatility risk premium | Volatilität | Volatility | Risikoprämie | Risk premium | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income | Schätzung | Estimation | Welt | World | Rohstoffderivat | Commodity derivative | Zinsderivat | Interest rate derivative | Index-Futures | Index futures |
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