TY - GEN
T1 - Still Not Cheap: Portfolio Protection in Calm Markets (Digest Summary)
T2 - R. Israelov & L.N. Nielsen, Journal of Portfolio Management, Vol. 41, No. 4 (Spring 2015), 108-120.
AU - Jackson, Antony
N1 - CFA Digest Summary of 'Still Not Cheap: Portfolio Protection in Calm Markets'; R. Israelov & L.N. Nielsen; Journal of Portfolio Management, Vol. 41, No. 4 (Summer 2015), 108-120.
PY - 2015/12
Y1 - 2015/12
N2 - It is the volatility risk premium, defined as the excess of implied volatility over realized volatility, and not the absolute level of implied volatility, that determines whether put option portfolio protection is cheap or expensive.
AB - It is the volatility risk premium, defined as the excess of implied volatility over realized volatility, and not the absolute level of implied volatility, that determines whether put option portfolio protection is cheap or expensive.
UR - http://www.iijournals.com/doi/10.3905/jpm.2015.41.4.108
M3 - Book/Film/Article review
VL - 45
JO - CFA Digest
JF - CFA Digest
PB - CFA Institute
ER -