Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)
Flirting with Models
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The Cost of Tail Protection
Tail protection is complex and fraught with risk, but I don't think that's like a controversial position. The benefits you get from tail protection are very desirable, but are they worth paying the negative carry? And when you think about buying an option to protect a portfolio, it can work very well mechanically if the option horizon is aligned with a protection period somebody cares about. But on the benefit side, I think there should be a lot of comfort where he thinks it potentially falls apart.
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