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empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility
mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium
option-implied, correlation, beta, risk-return relation, CAPM, factor models, pairs trading
Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns
implied correlation, return predictability, index variance, variance risk premium, individual options
implied skewness, risk-neutral skewness, options, firm misvaluation, return predictability, beliefs
stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following
carbon risk, tail risk, climate finance, climate risk
Asymmetric volatility, SPX options, VIX options, asymmetric volatility implied correlation, leverage effect, trading strategy
variance risk premium, variance swap, individual options, variance factors
Implied Correlation, Factor Model, Market Factor, Factor Exposure, VIX, ETF, Sectors
conditional CAPM, regime switching, forward-looking betas, sentiment, implied correlations
extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization
risk-neutral distribution, option-implied moments, model-free variance, skewness, kurtosis, vector autoregression
Climate change, climate risk, conference calls, institutional investors
stock options, portfolio analysis, hedge fund policy, implied volatility, skew risk
Asset prices, beta, CAPM, hedging, asset allocation, portfolio management, mutual funds
Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion
(option-)implied correlation, return predictability, idiosyncratic risk, option-implied information, contemporaneous betas
contemporaneous betas, correlation risk premium, expected (implied) correlation, Idiosyncratic Risk, option-implied information, return predictability
household finance, household portfolio choice, wealth inequality, differences in beliefs, parameter uncertainty, Bayesian learning, recursive utility.
Bayesian Learning, differences in beliefs, household finance, household portfolio choice, parameter uncertainty, recursive utility, Wealth Inequality
Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium
liquidity premium, incomplete markets, portfolio choice, heterogeneous agents
portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets
alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs
parameter risk, hedging, microstructural noise, stochastic volatility
Recovery, sentiment, market views, agent heterogeneity, volatility trading, market spanning, disagreement, beliefs
Recovery, market spanning, expected returns, higher-order moments, option-implied, FOMC sensitivity index, random forest
climate finance, climate change exposure, climate risk premium, tail risk, climate change opportunities
information acquisition, attention allocation, factor investing, endogenous uncertainty, amplification, strategic complementarity
correlation premium, premium for correlation risk, cross-section of returns, big stocks, arbitrage pricing, string models, implied correlation.
arbitrage pricing, correlation premium, correlation-risk premium, cross-section of returns, implied correlation, string models
household finance, wealth inequality, belief formation, investors' expectations, trend chasing
