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The Journal of Index Investing

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Stress-Testing Volatility Risk Premium Harvesting Strategies Based on S&P 500 Index Options

Wei Ge
The Journal of Beta Investment Strategies Summer 2017, 8 (1) 37-46; DOI: https://doi.org/10.3905/jii.2017.8.1.037
Wei Ge
is a senior researcher at Parametric Portfolio Associates, LLC in Minneapolis, MN
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The Journal of Index Investing: 8 (1)
The Journal of Beta Investment Strategies
Vol. 8, Issue 1
Summer 2017
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Stress-Testing Volatility Risk Premium Harvesting Strategies Based on S&P 500 Index Options
Wei Ge
The Journal of Beta Investment Strategies May 2017, 8 (1) 37-46; DOI: 10.3905/jii.2017.8.1.037

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Stress-Testing Volatility Risk Premium Harvesting Strategies Based on S&P 500 Index Options
Wei Ge
The Journal of Beta Investment Strategies May 2017, 8 (1) 37-46; DOI: 10.3905/jii.2017.8.1.037
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  • Article
    • Abstract
    • HOW VRP PORTFOLIOS PERFORM DURING TIMES OF MARKET DISTRESS
    • DATA AND METHODOLOGY
    • RESULTS OF PERFORMANCE ANALYSIS
    • DETAILED EXAMINATION OF DAILY DRAWDOWNS
    • COMPARING DRAWDOWNS BASED ON SYNTHESIZED EXTREME HISTORICAL SCENARIOS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
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  • PDF (Subscribers Only)

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