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| Item type | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Asia Campus Archives |
INSEAD VIL 2008
(Browse shelf) 900191241 |
Available | 900191241 | |||
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Europe Campus INSEAD Publications Display |
INSEAD VIL 2008
(Browse shelf) 001243451 |
Available | 001243451 |
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.
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