添加时间:2016/6/30 10:12:21 来源:复旦研修网编 点击数:
复旦大学财务金融系系列讲座之191期
时间：2016年6月28日（周二）13:30
地点：思源楼224室
主持人：Prof. Wei-lin LIU Department of Finance, School of Management, Fudan University
主题：Volatility Premium for the Long Run and Short Run
演讲者：Prof. Chu ZHANG Professor of Finance, Hong Kong University of Science and Technology
摘要: We re-examine the puzzle documented in the recent literature that long-run volatility risk is virtually not compensated in addition to the short-run volatility risk. Working with a more flexible framework with time-varying risk premiums for both short-run and long-run volatility risks, we establish that the long-run volatility risk demands a conditional premium, which depends on the difference between the long-run volatility and the short-run volatility. Likewise, the premium for the short-run volatility also depends on its level relative to that of the long-run volatility. The finding can support a wide range of asset pricing models. The flexible framework also provides a better risk-return trade-off for volatility traders, compared with more rigid pricing models of long-run and short-run volatility risks.