Do Hedge Funds Hedge? New Evidence from Tail Risk Premia Embedded in Options


This paper deciphers tail risk in hedge funds from option-based trading strategies. It demonstrates tradable tail risk premia strategies as measured by pricing discrepancies between real-world and risk-neutral distributions... [ view full abstract ]


  1. Anmar Al Wakil (University of Paris-Dauphine)
  2. Serge Darolles (University of Paris-Dauphine)

Topic Areas

Econometrics , Hedge Funds , Options


TU-P-BU » Econometrics (14:30 - Tuesday, 17th July, Burke Theater)

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