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|Title||Volatility Dependent Structured Products|
|Item Subtype||Original Work|
|Status||Published electronically before print/final form (Epub ahead of print)|
|Journal Title||Journal of Investing|
|Abstract Text||We construct a derivative that depends on the SPY and VIX and, in this way, incorporates both the market risk premium and the variance risk premium. We show that the product's Sharpe ratio is higher than the SPY Sharpe ratio. If we invest $10000 into the product, the products' payoff is around $60000 at the end of 2018. In comparison, if we invest $10000 into the SPY, the SPY payoff is around $30000.|
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