Dissecting the Equity Market Variance Risk Premium
March 9, 2015 - Volatility Effects
Is there a more precise way to measure the premium available to investors willing to bear volatility risk than overall return variance? In their January 2015 paper entitled “Downside Variance Risk Premium”, Bruno Feunou, Mohammad Jahan-Parvar and Cedric Okou investigate the usefulness of (1) decomposing the variance risk premium (the difference between option-implied and realized variance)… Keep Reading