John Huss

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

2

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4,731

SSRN CITATIONS
Rank 14,130

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Top 14,130

in Total Papers Citations

42

CROSSREF CITATIONS

41

Scholarly Papers (2)

1.
Downloads 3,222 ( 4,616)
Citation 41

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,219 (4,549)
Citation 13

Abstract:

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Market and volatility risk, high-frequency data, realized volatility, risk modeling and forecasting, volatility trading, risk targeting, realized utility

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 57 Posted: 14 Feb 2018
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (815,197)
Citation 21
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

2.

Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

Number of pages: 55 Posted: 16 Aug 2019
Parametric Portfolio Associates, LLC, AQR Capital Management, LLC, NDVR, Inc. and AQR Capital Management, LLC
Downloads 1,509 (15,776)
Citation 1

Abstract:

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Risk Parity; Volatility Control; Volatility; Short Volatility; Volatility Risk Premium; Variance Risk Premium; Options; Hedging