Variance Asymmetry Managed Portfolios

Tang, Xiaoxiao

doi:10.2139/ssrn.3108007

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Option Characteristics1

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2017

2022

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Cited by 4 publications

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“…), and returns on corporate bonds, that is, on high-yield and investment grade. These results are corroborated by Feunou, Jahan-Parvar & Okou (2018) for aggregate returns, and by Feunou, Aliouchkin, Tedongap & Xu (2019), Tang (2019), Pederzoli (2020) and Duarte, Jones & Wang (2022) for the cross-section of stocks, who all document strong predictive power of related option characteristics, which is unspanned by standard measures of crash risk.…”

Section: Related Literaturementioning

confidence: 64%

“…• Risk-neutral variance measures. Inspired by Kadan & Tang (2020) and Tang (2019), we construct estimates of risk-neutral variance by calculating the measure for each available maturity, annualizing and taking the average. Specifically, VAR Q is the risk-neutral (Carr & Madan 1998) variance, VAR + and VAR − denotes the corresponding positive (call) and negative (put) semivariance, and AVAR = VAR − − VAR + estimates the variance asymmetry.…”

Section: Option Characteristicsmentioning

confidence: 99%

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