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Bhansali et al., 2018 - Google Patents

Right Tail Hedging: Managing Risk When Markets Melt Up

Bhansali et al., 2018

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Document ID
6776768808148759767
Author
Bhansali V
Davis J
Publication year
Publication venue
The Journal of Portfolio Management

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Snippet

Popular academic and practitioner lore claims that buying options, whether puts or calls, is a negative expected return investment and hence should not be undertaken by “rational, riskneutral” investors. However, real world considerations such as the possibility of large …
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