Y. Lemp\'eri\`ere; Deremble, C.; Nguyen, T. T.; Seager, P. - arXiv.org - 2014
We present extensive evidence that "risk premium" is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit a linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX...