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Full-Text Articles in Business
Tail Risk Hedging: The Search For Cheap Options, Poh Ling Neo, Chyng Wen Tee
Tail Risk Hedging: The Search For Cheap Options, Poh Ling Neo, Chyng Wen Tee
Research Collection Lee Kong Chian School Of Business
The authors find that a simple heuristic of sorting liquid equity options by dollar price to construct a portfolio of cheap put options leads to a surprisingly robust hedge for tail risk – the superior performance holds even when compared against more advanced empirical strategies. Further investigation reveals the asymmetry in market correlation under different market conditions as the mechanism of this robust hedging performance. The cheap options selected by the heuristic comprises of stocks with diverse firm characteristics. The correlation spike accompanying tail risk events leads to the majority of these put options moving into-the-money (ITM), thus compensating the …
The Ursinus College Investment Management Company Newsletter, Fall 2023, Kaela Frenchman, Olivia Defusco, Jack Thompson
The Ursinus College Investment Management Company Newsletter, Fall 2023, Kaela Frenchman, Olivia Defusco, Jack Thompson
Investment Management Company Newsletter
Inside this issue:
At a Glance
Letter from Kaela Frenchman '24 and Olivia DeFusco '24
Letter from Jack Thompson '24
Honoring Dr. Scott Deacle and Investment Team Updates
UCIMCO Investment Performance and Analysis
Endowment Outlook
Stock Selection Picks
Women's Fund Picks
Our Teams
Thank You!
How to Contribute
Investment Policy Statement UCIMCO Endowment
Investment Policy Statement UCIMCO Stock Selection
Investment Policy Statement UCIMCO Women's Fund
The Ursinus College Investment Management Company Newsletter, Spring 2023, Eric Parnell, Scott Deacle, Maureen Cumpstone, Ben Sjosten, Kaela Frenchman, Evan Coffrey
The Ursinus College Investment Management Company Newsletter, Spring 2023, Eric Parnell, Scott Deacle, Maureen Cumpstone, Ben Sjosten, Kaela Frenchman, Evan Coffrey
Investment Management Company Newsletter
Inside this issue:
At a Glance
Letter from Ben Sjosten '23
Letter from Kaela Frenchman '24
Letter from Evan Coffrey '24
Investment Team Strategies and Updates
UCIMCO Investment Performance and Analysis
Endowment Outlook
Stock Selection Picks
Women's Fund Picks
Our Teams
Thank You!
How to Contribute
Investment Policy Statement UCIMCO Endowment
Investment Policy Statement UCIMCO Women's Fund
Investment Policy Statement UCIMCO Stock Selection