Tail risk hedging: The search for cheap options
The authors find that a simple heuristic of sorting liquid equity options by dollar price to construct a portfolio of cheap put options leads to a surprisingly robust hedge for tail risk – the superior performance holds even when compared against more advanced empirical strategies. Further investiga...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/7326 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8325/viewcontent/SSRN_id4378071.pdf |
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| Institution: | Singapore Management University |
| Language: | English |