The risk premium that never was : a fair value explanation of the volatility spread
Year of publication: |
1 October 2017
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Authors: | McGee, Richard J. ; McGroarty, Frank |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 262.2017, 1 (1.10.), p. 370-380
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Subject: | Finance | Volatility spread | Variance premium | Tail risk | Growth-optimal portfolios | Risikoprämie | Risk premium | Volatilität | Volatility | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Zinsstruktur | Yield curve | Kapitaleinkommen | Capital income |
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