How Should the Long-Term Investor Harvest Variance Risk Premiums?
分析了设计方差投资策略时面临的收益、杠杆和有限期限三个问题，通过标普500指数期权市场的实证研究，发现设计要素对风险和收益有显著影响，表明合理设计的方差策略对长期投资者具有吸引力。
Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the long-term investor. This article defines, analyzes, and proposes potential solutions to three problems (payoff, leverage, and finite maturity) linked to designing suitable variance-based investment strategies. The authors conduct an empirical study of such strategies for the S&P 500 Index options market and find strong effects of certain design elements on risk and return. Overall, the results show that variance strategies can be attractive to the long-term investor if properly designed.