Harvesting the FX Skew Premium
Incorporating Risk premia strategies in multi-asset portfolios can lessen left-tail exposure, but diversification within options needs maximizing the number of volatility parameters for a direct trading strategy.
Featured in No. 32 on 9 Jan 2024 · 1 day after release · 0 citations today
- Released
- 8 Jan 2024
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- No. 32 · 9 Jan 2024
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- SSRN 4687408
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