Technical paper/Risk premia
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment
The authors put forward the concept of the joint lower-tail risk of liquidity and investor sentiment and investigate the issue of lower-tail risk premiums in the Chinese stock market.
The risk markup of intermittent renewable supply in German electricity forward markets
This paper presents an empirical analysis of how power shocks resulting from intermittent renewables affect the forecast error of the forward premium in German electricity markets.
Sample dependence of risk premiums
This paper discusses the framework within which to study how sample dependence is transferred from the data to the premiums via the density.
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
The Iberian electricity market: analysis of the risk premium in an illiquid market
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
The predictability implied by consumption-based asset-pricing models: a review of the theory and empirical evidence
This paper examines whether two well-known models, Campbell and Cochrane’s habit model and Bansal and Yaron’s long-run risks model, can produce significant return predictability.
Mostly prior-free asset allocation
This paper develops a prior-free version of Harry Markowitz’s efficient portfolio theory, which allows the decision maker to express their preferences with regard to risk and reward, even though they are unable to express a prior over potentially…
Bayesian analysis in an aggregate loss model: validation of the structure functions
This paper considers the empirical evaluation of a collective risk model with the geometric as the primary distribution and the exponential as the secondary distribution.
Commodity premia: It’s all about risk control
Strategies based on commodity risk premia can be rewarding – but beware common pitfalls
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Modelling credit migration
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