Volatility Exposure for Strategic Asset Allocation
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- Marie Briere & Alexandre Burgues & Ombretta Signori, 2010. "Volatility exposure for strategic asset allocation," ULB Institutional Repository 2013/169642, ULB -- Universite Libre de Bruxelles.
References listed on IDEAS
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- Marie Briere & Ariane Szafarz, 2015.
"Does commercial microfinance belong to the financial sector? Lessons from the stock market,"
ULB -- Universite Libre de Bruxelles, vol. 67, pages 110-125, March.
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More about this item
Keywordsvariance swap; volatility risk premium; higher moments; portfolio choice; Value at Risk;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-25 (All new papers)
- NEP-FMK-2008-11-25 (Financial Markets)
- NEP-RMG-2008-11-25 (Risk Management)
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