An Asset Class Characterization of the U.S. Equity Index Volatility Risk Premium
William Fallon and James Park
The Journal of Portfolio Management Fall 2016, 43 (1) 72-84; DOI: https://doi.org/10.3905/jpm.2016.43.1.072
William Fallon
is a managing director and the Macro Alpha CIO of the Quantitative Investment Strategies Group at Goldman Sachs Asset Management in New York, NY.
James Park
is a managing director of the Quantitative Investment Strategies Group at Goldman Sachs Asset Management in New York, NY.
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An Asset Class Characterization of the U.S. Equity Index Volatility Risk Premium
William Fallon, James Park
The Journal of Portfolio Management Oct 2016, 43 (1) 72-84; DOI: 10.3905/jpm.2016.43.1.072