John Huss

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

2

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SSRN CITATIONS
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Top 14,460

in Total Papers Citations

38

CROSSREF CITATIONS

40

Scholarly Papers (2)

1.
Downloads 3,130 ( 4,346)
Citation 39

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,127 (4,266)
Citation 13

Abstract:

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Market and volatility risk, high-frequency data, realized volatility, risk modeling and forecasting, volatility trading, risk targeting, realized utility

Risk Everywhere: Modeling and Managing Volatility

CEPR Discussion Paper No. DP12687
Number of pages: 57 Posted: 14 Feb 2018
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (767,523)
Citation 18
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

2.

Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

Number of pages: 55 Posted: 16 Aug 2019
Parametric Portfolio Associates, LLC, AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,438 (15,427)

Abstract:

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Risk Parity; Volatility Control; Volatility; Short Volatility; Volatility Risk Premium; Variance Risk Premium; Options; Hedging