Harvesting the Variance Risk Premium in Nuclear and Energy Equities: A Short-Put Portfolio Derisking Strategy

By Jilang Miao, Nonna Sorokina

Published 2026-09-01

Everscope rating

1434

Relevance to quantitative trading

9 / 10

Implementation complexity

5 / 10

Reproducibility

3 / 5

About this paper

Methodology: Systematic Short-Put Portfolio with GARCH-Filtered VRP Harvesting. Problem types: Portfolio Optimization, Risk Management, Options Trading Strategy.

arXiv:2609.01183 · Paper rankings

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