Buying and Selling Crash Insurance (Tail Risk Protection)
February 18, 2016 - Equity Options
What are the best ways to buy or sell tail risk protection (crash insurance)? In his May 2015 paper entitled “Should You Buy or Sell Tail Risk Hedges? A Filtered Bootstrap Approach”, Lorenzo Baldassini uses filtered bootstrap simulations to estimate whether and how an investor can enhance an equity index return distribution (a buy-and-hold benchmark) by buying or… Keep Reading