The Price of Market Volatility Risk
Duarte and Jones (2008) study the volatility risk premium in volatility and options using a linear factor model. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“In fact, our simulation results demonstrate that biases can be up to several percentage points per day.”
AssetVolatility and optionsoptions
StrategyVolatility risk premium
TechniqueLinear factor model
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
FamilyVolatility risk premium102Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 900
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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