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q-fin.GN2016
Tail protection for long investors: Trend convexity at work
Tung-Lam Dao, Trung-Tu Nguyen, Cyril Deremble +3
The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it…
q-fin.GN2014
Risk Premia: Asymmetric Tail Risks and Excess Returns
Y. Lempérière, C. Deremble, T. T. Nguyen +3
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skew…