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- W2783294046 abstract "Briere, Burgues, and Signori examine the advantages of incorporating strategic exposure to equity volatility into the investment opportunity set of a long-term equity investor. They consider two standard volatility investments: implied volatility and volatility risk premium strategies. An analytical framework, which offers pragmatic solutions for longterm investors who seek exposure to volatility, is used to calibrate and assess the risk - return profiles of portfolios.The benefit of volatility exposure for a conventional portfolio is shown through a mean-modified Value at Risk portfolio optimization. A pure volatility investment makes it possible to partially hedge downside equity risk and thus reduce the risk profile of a portfolio, while an investment in the volatility risk premium substantially increases returns for a given level of risk. A well-calibrated combination of the two strategies enhances both the absolute and risk-adjusted returns of a portfolio." @default.
- W2783294046 created "2018-01-26" @default.
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- W2783294046 date "2010-01-01" @default.
- W2783294046 modified "2023-09-25" @default.
- W2783294046 title "Volatility Exposure for Strategic Asset Allocation" @default.
- W2783294046 hasPublicationYear "2010" @default.
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