Briere, Marie; Burgues, Alexandre; Signori, Ombretta - Centre Emile Bernheim, Solvay Brussels School of … - 2008
in the volatility risk premium substantially increases returns for a given level of risk. A well calibrated combination … risk premium strategies. To calibrate and assess the risk/return profile of the portfolio, we present an analytical …-opportunity set of a long-term equity investor. We consider two standard volatility investments: implied volatility and volatility …