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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Volatility Dependent Structured Products
Organization Unit
Authors
  • Artem Dyachenko
  • Erich Walter Farkas
  • Marc Oliver Rieger
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title The Journal of Investing
Publisher Portfolio Management Research
Geographical Reach international
ISSN 1068-0896
Volume 30
Number 2
Page Range 53 - 60
Date 2021
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 had invested $10,000 into the product, the product’s payoff would have been about $60,000 at the end of 2018. In comparison, if we invested $10,000 into the SPY, the SPY payoff would be only about $30,000.
Related URLs
Digital Object Identifier 10.3905/joi.2020.1.162
Other Identification Number merlin-id:19609
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