Variance risk premiums and return predictability: Evidence from SSE 50ETF options

被引：0
|
作者：
Li, Zhiyong [1 ]
Yu, Mei [2 ]
Wang, Shouyang [3 ]
机构：
[1] PBC School of Finance, Tsinghua University, Beijing,100083, China
[2] School of Banking and Finance, University of International Business and Economics, Beijing,100029, China
[3] Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing,100190, China
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2022年 / 42卷 / 02期
关键词：
Engineering Village;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Chinese investors - Degree of risks - Delta-hedging - Downside and upside variance risk premium - Options market - Returns predictabilities - Risk averse - Risk aversion - Variance risk premiums
引用
收藏
页码：306 / 319
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