Construct · 1 fields · 1 citations

variance risk premium: a standalone construct

One name. One construct. A landmark on the map.

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Asset pricing

the difference between risk-neutral and realized return variance, reflecting what investors pay to insure against variance increases.

In asset pricing, variance risk premium refers to the difference between risk-neutral and realized return variance, reflecting what investors pay to insure against variance increases. This meaning comes from Carr (2008) in Review of Financial Studies.[1]

Unit
Recovery means
Measured by

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Nearby constructs

asset2 fields · 2 citationsjingle · one word, two constructs premium4 fields · 4 citationsjingle · one word, four constructs return3 fields · 3 citationsjingle · one word, three constructs

References

Carr, P., & Wu, L. (2008). Variance Risk Premiums. Review of Financial Studies, 22(3), 1311-1341. https://doi.org/10.1093/rfs/hhn038

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