Still Not Cheap: Portfolio Protection in Calm Markets (Digest Summary): R. Israelov & L.N. Nielsen, Journal of Portfolio Management, Vol. 41, No. 4 (Spring 2015), 108-120.

Research output: Contribution to specialist publicationBook/Film/Article review


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.
Original languageEnglish
Specialist publicationCFA Digest
PublisherCFA Institute
Publication statusPublished - Dec 2015

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