{"id":"https://openalex.org/W2169783236","doi":"https://doi.org/10.2139/ssrn.1342331","title":"The Price of Interest Rate Variance Risk and Optimal Investments in Interest Rate Derivatives","display_name":"The Price of Interest Rate Variance Risk and Optimal Investments in Interest Rate Derivatives","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W2169783236","doi":"https://doi.org/10.2139/ssrn.1342331","mag":"2169783236"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.1342331","doi":"https://doi.org/10.2139/ssrn.1342331","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1342331","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1342331","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5023522748","display_name":"Anders B. Trolle","orcid":"https://orcid.org/0000-0003-1873-1779","observed_orcids":["https://orcid.org/0000-0003-1873-1779"]},"institutions":[{"id":"https://openalex.org/I180519160","display_name":"Copenhagen Business School","ror":"https://ror.org/04sppb023","country_code":"DK","type":"education","lineage":["https://openalex.org/I180519160"]}],"countries":["DK"],"is_corresponding":true,"raw_author_name":"Anders B. Trolle","raw_affiliation_strings":["Copenhagen Business School, Solbjerg Plads 3, Frederiksberg C, DK - 2000, Denmark","Copenhagen Business School"],"raw_orcid":"https://orcid.org/0000-0003-1873-1779","affiliations":[{"raw_affiliation_string":"Copenhagen Business School, Solbjerg Plads 3, Frederiksberg C, DK - 2000, Denmark","institution_ids":["https://openalex.org/I180519160"]},{"raw_affiliation_string":"Copenhagen Business School","institution_ids":["https://openalex.org/I180519160"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5023522748"],"corresponding_institution_ids":["https://openalex.org/I180519160"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9843999743461609,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9843999743461609,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.006500000134110451,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12276","display_name":"Risk Management in Financial Firms","score":0.0024999999441206455,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/variance-risk-premium","display_name":"variance risk premium","score":0.8069999814033508},{"id":"https://openalex.org/keywords/interest-rate-derivatives","display_name":"interest rate derivatives","score":0.9900000095367432},{"id":"https://openalex.org/keywords/dynamic-term-structure-models","display_name":"dynamic term structure models","score":0.8600000143051147},{"id":"https://openalex.org/keywords/treasury-bond-futures","display_name":"Treasury bond futures","score":0.7210000157356262},{"id":"https://openalex.org/keywords/price-of-risk","display_name":"price of risk","score":0.7239999771118164},{"id":"https://openalex.org/keywords/sharpe-ratio","display_name":"Sharpe ratio","score":0.7730000019073486},{"id":"https://openalex.org/keywords/dynamic-portfolio-choice","display_name":"dynamic portfolio choice","score":0.8370000123977661}],"concepts":[{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.7036297917366028},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6012046933174133},{"id":"https://openalex.org/C29944286","wikidata":"https://www.wikidata.org/wiki/Q205273","display_name":"Interest rate risk","level":3,"score":0.6004970073699951},{"id":"https://openalex.org/C128029710","wikidata":"https://www.wikidata.org/wiki/Q205180","display_name":"Interest rate derivative","level":3,"score":0.4954932928085327},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.44467073678970337},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.43605560064315796},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.4191758334636688},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.40498629212379456},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.360927551984787},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.12152379751205444}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.2139/ssrn.1342331","doi":"https://doi.org/10.2139/ssrn.1342331","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1342331","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.540.7874","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.540.7874","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.hec.unil.ch/documents/sem_ibf/Trolle.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.541.3036","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.541.3036","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://sfi.epfl.ch/webdav/site/sfi/users/192823/public/Trolle_IR_ variance_risk.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1342331","doi":"https://doi.org/10.2139/ssrn.1342331","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1342331","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":66,"referenced_works":["https://openalex.org/W100785939","https://openalex.org/W292358271","https://openalex.org/W620638568","https://openalex.org/W1480459000","https://openalex.org/W1604073885","https://openalex.org/W1966256642","https://openalex.org/W1966926926","https://openalex.org/W1984031927","https://openalex.org/W1986440955","https://openalex.org/W1994501398","https://openalex.org/W1998548744","https://openalex.org/W2016090388","https://openalex.org/W2021824814","https://openalex.org/W2047980104","https://openalex.org/W2049234737","https://openalex.org/W2050067494","https://openalex.org/W2051047282","https://openalex.org/W2061339623","https://openalex.org/W2064545790","https://openalex.org/W2064978316","https://openalex.org/W2079023981","https://openalex.org/W2084931349","https://openalex.org/W2089689654","https://openalex.org/W2091078758","https://openalex.org/W2098612888","https://openalex.org/W2102596971","https://openalex.org/W2112408160","https://openalex.org/W2117178635","https://openalex.org/W2120926346","https://openalex.org/W2122959466","https://openalex.org/W2124328516","https://openalex.org/W2138349601","https://openalex.org/W2141322400","https://openalex.org/W2141436719","https://openalex.org/W2142626631","https://openalex.org/W2143455591","https://openalex.org/W2148000737","https://openalex.org/W2155392664","https://openalex.org/W2156361014","https://openalex.org/W2159879678","https://openalex.org/W2160358053","https://openalex.org/W2163191305","https://openalex.org/W2164380597","https://openalex.org/W2169446525","https://openalex.org/W2170444200","https://openalex.org/W2209557103","https://openalex.org/W2562827198","https://openalex.org/W2569451820","https://openalex.org/W3021537841","https://openalex.org/W3023906401","https://openalex.org/W3121513733","https://openalex.org/W3121966384","https://openalex.org/W3122241587","https://openalex.org/W3122306534","https://openalex.org/W3122817125","https://openalex.org/W3122818389","https://openalex.org/W3123024742","https://openalex.org/W3123332101","https://openalex.org/W3123757132","https://openalex.org/W3124973140","https://openalex.org/W3125050320","https://openalex.org/W3125515276","https://openalex.org/W3126059558","https://openalex.org/W4210791600","https://openalex.org/W4231157123","https://openalex.org/W7058134049"],"related_works":["https://openalex.org/W2912670805","https://openalex.org/W1568900049","https://openalex.org/W1991509810","https://openalex.org/W1541586030","https://openalex.org/W3124467391","https://openalex.org/W1982998899","https://openalex.org/W2099263939","https://openalex.org/W1584926221","https://openalex.org/W2157781054","https://openalex.org/W7096007961"],"abstract_inverted_index":null,"counts_by_year":[{"year":2021,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}