Rational investors are in general risk averse. An important implication of this risk aversion is that investors may … demand compensation for certain risks they take – risk premiums. Moment risk premiums are an example of such risk premiums …. They are defined as the difference between a particular statistical moment of the risk-neutral return distribution and the …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be … different selection criteria with diverse weighting schemes. Finally, we analyze how is the behavior of equity options on those … equity options with index options. …