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Article

Still Not Cheap: Portfolio Protection in Calm Markets

Roni Israelov and Lars N. Nielsen
The Journal of Portfolio Management Summer 2015, 41 (4) 108-120; DOI: https://doi.org/10.3905/jpm.2015.41.4.108
Roni Israelov
is vice president at AQR Capital Management in Greenwich, CT.
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  • For correspondence: roni.israelov@aqr.com
Lars N. Nielsen
is principal at AQR Capital Management in Greenwich, CT.
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  • For correspondence: lars.nielsen@aqr.com
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Abstract

Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest this represents a good opportunity to purchase put options for portfolio insurance. It is well-known that portfolio insurance is expensive on average, but what about in calm markets? History suggests it still is. The authors investigate the relationship between option richness and volatility across 10 global equity indexes. Option prices may be low, but their expected values tend to be even lower.

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The Journal of Portfolio Management: 41 (4)
The Journal of Portfolio Management
Vol. 41, Issue 4
Summer 2015
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Still Not Cheap: Portfolio Protection in Calm Markets
Roni Israelov, Lars N. Nielsen
The Journal of Portfolio Management Jul 2015, 41 (4) 108-120; DOI: 10.3905/jpm.2015.41.4.108

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Still Not Cheap: Portfolio Protection in Calm Markets
Roni Israelov, Lars N. Nielsen
The Journal of Portfolio Management Jul 2015, 41 (4) 108-120; DOI: 10.3905/jpm.2015.41.4.108
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    • Volatility Risk Premium
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