A Tactical Strategy using ETFs: Harvesting Volatility Risk Premia & Crisis Alpha
Volatility Risk Premia & Crisis Alpha Harvesting: The author proposes a systematic method for investing in volatility risk premia via ETFs, utilizing futures contracts for backtesting data.
Featured in No. 30 on 20 Dec 2023 · 3 days after release · 0 citations today
- Released
- 17 Dec 2023
- First featured
- No. 30 · 20 Dec 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4666899
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