The Variance Risk Premium: Building and Managing Systematic Short-Volatility Portfolios
Kindle Edition or EPUB + Converted PDF نویسندگان: Graham S. Hawthorn
جزئیات
فرمت: Kindle Edition or EPUB + Converted PDF ناشر: NobleTrex Press تاریخ انتشار نسخه الکترونیکی : August 9, 2026
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لینک: https://www.amazon.com/dp/B0HFKMTX2K
1,303,000 تومان
زمان تحویل: حداکثر 24 ساعت
توضیحات
Systematic short-volatility investing can look deceptively simple—until volatility regimes shift, convex losses compound, and implementation details overwhelm the premium you thought you were harvesting. This book is written for quantitative portfolio managers and systematic traders who want a rigorous, practical framework for extracting the variance risk premium while respecting the realities of nonlinear risk, leverage, liquidity, and drawdown control.It guides readers from first principles to institutional execution. You will learn how realized and implied variance are defined and measured, how the variance risk premium emerges and changes across regimes, and how to convert that insight into robust trading signals. The book then develops portfolio construction methods for short-vol programs, with particular emphasis on volatility targeting, exposure guardrails, VIX futures curve dynamics, carry and roll yield, and curve-aware allocation. Just as importantly, it addresses survival: drawdown-aware sizing, tail-risk hedging, stress testing, execution under pressure, and disciplined backtesting to reduce bias and overfitting.The result is a complete blueprint for designing, validating, and governing a rules-based short-volatility program. Readers should be comfortable with derivatives, portfolio risk concepts, and basic quantitative methods. What distinguishes this treatment is its integration of theory, implementation, and operational governance into a single systematic playbook.
1,303,000 تومان
زمان تحویل: حداکثر 24 ساعت