Flirting with Models cover image

Roni Israelov – High Frequency Factors, the Volatility Risk Premium, and Re-Thinking Financial Planning (S6E4)

Flirting with Models

00:00

The Differences Between Volatility Risk Premiums and Underlying Asset Risk Premiums

Roland Martin: How does volatility risk premium really differ from underlying asset risk premium? He says it's possible to construct a VRP strategy that is unconditionally uncorrelated to the underlying market. But during equity market crashes, they both suffer, he says. Martin: It can be dangerous to allocate to a volatility risk premium strategy under the assumption that it is a terrific diversifier.

Transcript
Play full episode

The AI-powered Podcast Player

Save insights by tapping your headphones, chat with episodes, discover the best highlights - and more!
App store bannerPlay store banner
Get the app