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Contribution Details

Type Master's Thesis
Scope Discipline-based scholarship
Title Variance Risk Premium
Organization Unit
  • Contribution from another University/Organization than University of Zurich
Authors
  • Charles Viennois
Supervisors
  • Erich Walter Farkas
  • Cyril Bachelard
Language
  • English
Institution ETH
Faculty Mathematik
Date 2022
Abstract Text The Variance Risk Premium (VRP) is defined as the difference between implied and realized volatility. Recent literature suggests that the VRP has a statistically significant predictive power on future returns. We define rigorously the VRP and investigate this predictive relation throw various models. We develop a trading strategy based on the VRP only and achieve a Sharpe ratio of 0.6.
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