Download PDF Introduction Over the years many researchers studied returns in the market, in particular empirical analysis has shown that market returns follow a quasi-normal distribution. This assumption however doesn’t capture the fact that markets exhibit more sharp movements than what the standard normal distribution would imply, thus we say Read more…
Download PDF Introduction Tail-risk hedging strategies were once again on investors mouths, following the March 2020 drawdowns. April 2020 headlines were dominated by tail-risk hedge funds performance numbers and tenfold returns were not uncommon. By mainly incorporating complex option-based and CDS strategies, the funds look to minimize portfolio drawdowns in Read more…
We gave a brief introduction to put writing strategies already earlier this semester. We since thought about possible modifications of such strategies and their effects on return characteristics and return predictability. The positive returns of put writing strategies can be motivated from risk premia, as we show in the first Read more…