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dc.contributor.authorBurgues, Alexandre*
dc.contributor.authorSignori, Ombretta*
dc.contributor.authorBrière, Marie*
dc.date.accessioned2012-05-29T12:47:49Z
dc.date.available2012-05-29T12:47:49Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9293
dc.language.isoenen
dc.subjectMarketen
dc.subjectEquity pricesen
dc.subjectstrategiesen
dc.subjectinvestment decisionen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD81en
dc.subject.classificationjelG15en
dc.subject.classificationjelG11en
dc.titleVolatility as an Asset Class for Long-Term Investorsen
dc.typeChapitre d'ouvrage
dc.contributor.editoruniversityotherUniversité Libre de Bruxelles;Belgique
dc.description.abstractenThis work shows how long-term investors can benefit from adding volatility as an asset class to their portfolio. Two types of "structural" exposure – long implied volatility and long volatility risk premium – are now simple to implement. Implied volatility exposure can be used to significantly reduce the risk profile of the portfolio, and especially extreme risks. Adding a volatility risk premium investment is less appealing : it substantially increases returns for a given level of risk, but at the cost of higher extreme risks. However a combination of the two volatility strategies is very attractive, thanks to fairly effective reciprocal hedging during periods of market stress. It delivers enhanced absolute and risk-adjusted returns, with smaller extreme risks than a traditional portfolio. Over the long term, volatility strategies make it possible to build portfolios that are more efficient than a pure-bond or equity/bond investment.en
dc.identifier.citationpages265-280en
dc.relation.ispartoftitleInterest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Fundsen
dc.relation.ispartofeditorBerkelaar, Arjan B.
dc.relation.ispartofeditorCoche, Joachim
dc.relation.ispartofeditorNyholm, Ken
dc.relation.ispartofpublnamePalgrave McMillanen
dc.relation.ispartofpublcityBasingstokeen
dc.relation.ispartofdate2009
dc.relation.ispartofpages408en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn978-0-230-24012-4en
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