Normal view MARC view

Essays in asset pricing

Author: Vilkov, Grigory INSEAD Area: FinancePublisher: Fontainebleau : INSEAD, 2008.Language: EnglishDescription: 132 p. ; 30 cm.Type of document: INSEAD ThesisThesis Note: For the degree of Ph.D. in management, INSEAD, May 2008Bibliography/Index: Includes bibliographical referencesAbstract: The dissertation is composed of three essays. The first essay, "The price of correlation risk: evidence from equity options", studies whether exposure to market-wide correlation shocks affects expected options returns, using data on SandP100 index options, options on all components, and stock returns. The second essay, "Portfolio policies with stock options", studies the partial equilibrium portfolio optimization problem for a myopic CRRA investor who can trade options on individual stocks. The third essay, "Variance risk premium demystified", studies the dynamics and cross-sectional propoerties of the variance risk premia embedded in options on stocks and indices, approximated by the synthetic variance swap returns. List(s) this item appears in: Ph.D. Thesis
Tags: No tags from this library for this title. Log in to add tags.
Item type Current location Collection Call number Status Date due Barcode Item holds
INSEAD Thesis Asia Campus
Archives
Print INSEAD VIL 2008
(Browse shelf)
900191241
Available 900191241
INSEAD Thesis Europe Campus
INSEAD Publications Display
Print INSEAD VIL 2008
(Browse shelf)
001243451
Available 001243451
Total holds: 0

For the degree of Ph.D. in management, INSEAD, May 2008

Includes bibliographical references

The dissertation is composed of three essays. The first essay, "The price of correlation risk: evidence from equity options", studies whether exposure to market-wide correlation shocks affects expected options returns, using data on SandP100 index options, options on all components, and stock returns. The second essay, "Portfolio policies with stock options", studies the partial equilibrium portfolio optimization problem for a myopic CRRA investor who can trade options on individual stocks. The third essay, "Variance risk premium demystified", studies the dynamics and cross-sectional propoerties of the variance risk premia embedded in options on stocks and indices, approximated by the synthetic variance swap returns.

There are no comments for this item.

Log in to your account to post a comment.
Koha 18.11 - INSEAD Catalogue
Home | Contact Us | What's Koha?