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Keywords: Variance risk premia
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Journal Articles
Journal of Risk Finance (2019) 20 (5): 556–593.
Published: 22 October 2019
...Julien Chevallier; Dinh-Tri Vo Purpose In asset management, what if clients want to purchase protection from risk factors, under the form of variance risk premia. This paper aims to address this topic by developing a portfolio optimization framework based on the criterion of the minimum variance...

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