Volatility Exposure for Strategic Asset Allocation
Brière, Burgues and Signori (2008) study the volatility risk premium in volatility and options. The abstract mentions excess returns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“A well calibrated combination of the two strategies allows for enhanced absolute and risk-adjusted returns for the portfolio.”
AssetVolatility and options
StrategyVolatility risk premiumportfolio optimization
GeographyGlobal
ClaimExcess return
Also stated: Options-implied
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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