Publication Information

{'id': 'https://openalex.org/W1840913346', 'doi': 'https://doi.org/10.2469/faj.v71.n5.4', 'title': 'Asset Allocation Implications of the Global Volatility Premium', 'display_name': 'Asset Allocation Implications of the Global Volatility Premium', 'publication_year': 2015, 'publication_date': '2015-09-01', 'ids': {'openalex': 'https://openalex.org/W1840913346', 'doi': 'https://doi.org/10.2469/faj.v71.n5.4', 'mag': '1840913346'}, 'language': 'en', 'primary_location': {'is_oa': False, 'landing_page_url': 'https://doi.org/10.2469/faj.v71.n5.4', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S162525099', 'display_name': 'Financial Analysts Journal', 'issn_l': '0015-198X', 'issn': ['0015-198X', '1938-3312'], 'is_oa': False, 'is_in_doaj': False, 'is_core': True, 'host_organization': 'https://openalex.org/P4310320547', 'host_organization_name': 'Taylor & Francis', 'host_organization_lineage': ['https://openalex.org/P4310320547'], 'host_organization_lineage_names': ['Taylor & Francis'], 'type': 'journal'}, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}, 'type': 'article', 'type_crossref': 'journal-article', 'indexed_in': ['crossref'], 'open_access': {'is_oa': False, 'oa_status': 'closed', 'oa_url': None, 'any_repository_has_fulltext': False}, 'authorships': [{'author_position': 'first', 'author': {'id': 'https://openalex.org/A5083277416', 'display_name': 'William Fallon', 'orcid': None}, 'institutions': [{'id': 'https://openalex.org/I40713646', 'display_name': 'Goldman Sachs (United States)', 'ror': 'https://ror.org/031rnv444', 'country_code': 'US', 'type': 'company', 'lineage': ['https://openalex.org/I40713646']}], 'countries': ['US'], 'is_corresponding': False, 'raw_author_name': 'William Fallon', 'raw_affiliation_strings': ['William Fallon is chief investment officer at Goldman Sachs Asset Management in New York City.'], 'affiliations': [{'raw_affiliation_string': 'William Fallon is chief investment officer at Goldman Sachs Asset Management in New York City.', 'institution_ids': ['https://openalex.org/I40713646']}]}, {'author_position': 'middle', 'author': {'id': 'https://openalex.org/A5024915551', 'display_name': 'James Park', 'orcid': 'https://orcid.org/0000-0001-6930-7658'}, 'institutions': [{'id': 'https://openalex.org/I40713646', 'display_name': 'Goldman Sachs (United States)', 'ror': 'https://ror.org/031rnv444', 'country_code': 'US', 'type': 'company', 'lineage': ['https://openalex.org/I40713646']}], 'countries': ['US'], 'is_corresponding': False, 'raw_author_name': 'James Park', 'raw_affiliation_strings': ['James Park is a portfolio manager in the Macro Quantitative Investment Strategies group at Goldman Sachs Asset Management in New York City.'], 'affiliations': [{'raw_affiliation_string': 'James Park is a portfolio manager in the Macro Quantitative Investment Strategies group at Goldman Sachs Asset Management in New York City.', 'institution_ids': ['https://openalex.org/I40713646']}]}, {'author_position': 'last', 'author': {'id': 'https://openalex.org/A5024480574', 'display_name': 'Danny Yu', 'orcid': 'https://orcid.org/0000-0002-8997-8560'}, 'institutions': [{'id': 'https://openalex.org/I40713646', 'display_name': 'Goldman Sachs (United States)', 'ror': 'https://ror.org/031rnv444', 'country_code': 'US', 'type': 'company', 'lineage': ['https://openalex.org/I40713646']}], 'countries': ['US'], 'is_corresponding': False, 'raw_author_name': 'Danny Yu', 'raw_affiliation_strings': ['Danny Yu is a portfolio manager in the Macro Quantitative Investment Strategies group at Goldman Sachs Asset Management in New York City.'], 'affiliations': [{'raw_affiliation_string': 'Danny Yu is a portfolio manager in the Macro Quantitative Investment Strategies group at Goldman Sachs Asset Management in New York City.', 'institution_ids': ['https://openalex.org/I40713646']}]}], 'institution_assertions': [], 'countries_distinct_count': 1, 'institutions_distinct_count': 1, 'corresponding_author_ids': [], 'corresponding_institution_ids': [], 'apc_list': None, 'apc_paid': None, 'fwci': 1.917, 'has_fulltext': True, 'fulltext_origin': 'ngrams', 'cited_by_count': 15, 'citation_normalized_percentile': {'value': 0.9, 'is_in_top_1_percent': False, 'is_in_top_10_percent': True}, 'cited_by_percentile_year': {'min': 88, 'max': 89}, 'biblio': {'volume': '71', 'issue': '5', 'first_page': '38', 'last_page': '56'}, 'is_retracted': False, 'is_paratext': False, 'primary_topic': {'id': 'https://openalex.org/T10047', 'display_name': 'Financial Markets and Investment Strategies', 'score': 0.9986, '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/T10047', 'display_name': 'Financial Markets and Investment Strategies', 'score': 0.9986, '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/T10067', 'display_name': 'Stochastic processes and financial applications', 'score': 0.9977, '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/T10282', 'display_name': 'Financial Risk and Volatility Modeling', 'score': 0.9968, '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'}}], 'keywords': [], 'concepts': [{'id': 'https://openalex.org/C139938925', 'wikidata': 'https://www.wikidata.org/wiki/Q1501898', 'display_name': 'Sharpe ratio', 'level': 3, 'score': 0.90663433}, {'id': 'https://openalex.org/C91602232', 'wikidata': 'https://www.wikidata.org/wiki/Q756115', 'display_name': 'Volatility (finance)', 'level': 2, 'score': 0.8330891}, {'id': 'https://openalex.org/C180916674', 'wikidata': 'https://www.wikidata.org/wiki/Q3711935', 'display_name': 'Diversification (marketing strategy)', 'level': 2, 'score': 0.77029943}, {'id': 'https://openalex.org/C44731940', 'wikidata': 'https://www.wikidata.org/wiki/Q7940001', 'display_name': 'Volatility risk premium', 'level': 4, 'score': 0.75613046}, {'id': 'https://openalex.org/C162324750', 'wikidata': 'https://www.wikidata.org/wiki/Q8134', 'display_name': 'Economics', 'level': 0, 'score': 0.6265802}, {'id': 'https://openalex.org/C139819358', 'wikidata': 'https://www.wikidata.org/wiki/Q462748', 'display_name': 'Asset allocation', 'level': 3, 'score': 0.5654384}, {'id': 'https://openalex.org/C192620184', 'wikidata': 'https://www.wikidata.org/wiki/Q7940002', 'display_name': 'Volatility swap', 'level': 4, 'score': 0.55910856}, {'id': 'https://openalex.org/C2780821815', 'wikidata': 'https://www.wikidata.org/wiki/Q5340806', 'display_name': 'Portfolio', 'level': 2, 'score': 0.5111912}, {'id': 'https://openalex.org/C106159729', 'wikidata': 'https://www.wikidata.org/wiki/Q2294553', 'display_name': 'Financial economics', 'level': 1, 'score': 0.50124574}, {'id': 'https://openalex.org/C13290067', 'wikidata': 'https://www.wikidata.org/wiki/Q915788', 'display_name': 'Volatility smile', 'level': 3, 'score': 0.49098447}, {'id': 'https://openalex.org/C24189920', 'wikidata': 'https://www.wikidata.org/wiki/Q1660345', 'display_name': 'Implied volatility', 'level': 3, 'score': 0.46985948}, {'id': 'https://openalex.org/C181236170', 'wikidata': 'https://www.wikidata.org/wiki/Q848354', 'display_name': 'Capital asset pricing model', 'level': 2, 'score': 0.42695358}, {'id': 'https://openalex.org/C149782125', 'wikidata': 'https://www.wikidata.org/wiki/Q160039', 'display_name': 'Econometrics', 'level': 1, 'score': 0.3764071}, {'id': 'https://openalex.org/C556758197', 'wikidata': 'https://www.wikidata.org/wiki/Q580018', 'display_name': 'Monetary economics', 'level': 1, 'score': 0.3683984}, {'id': 'https://openalex.org/C144133560', 'wikidata': 'https://www.wikidata.org/wiki/Q4830453', 'display_name': 'Business', 'level': 0, 'score': 0.23493299}, {'id': 'https://openalex.org/C162853370', 'wikidata': 'https://www.wikidata.org/wiki/Q39809', 'display_name': 'Marketing', 'level': 1, 'score': 0.0}], 'mesh': [], 'locations_count': 1, 'locations': [{'is_oa': False, 'landing_page_url': 'https://doi.org/10.2469/faj.v71.n5.4', 'pdf_url': None, 'source': {'id': 'https://openalex.org/S162525099', 'display_name': 'Financial Analysts Journal', 'issn_l': '0015-198X', 'issn': ['0015-198X', '1938-3312'], 'is_oa': False, 'is_in_doaj': False, 'is_core': True, 'host_organization': 'https://openalex.org/P4310320547', 'host_organization_name': 'Taylor & Francis', 'host_organization_lineage': ['https://openalex.org/P4310320547'], 'host_organization_lineage_names': ['Taylor & Francis'], 'type': 'journal'}, 'license': None, 'license_id': None, 'version': None, 'is_accepted': False, 'is_published': False}], 'best_oa_location': None, 'sustainable_development_goals': [{'id': 'https://metadata.un.org/sdg/17', 'display_name': 'Partnerships for the goals', 'score': 0.41}], 'grants': [], 'datasets': [], 'versions': [], 'referenced_works_count': 15, 'referenced_works': ['https://openalex.org/W1500950774', 'https://openalex.org/W1859883690', 'https://openalex.org/W2099263939', 'https://openalex.org/W2132661711', 'https://openalex.org/W2136120210', 'https://openalex.org/W2147435472', 'https://openalex.org/W2152013510', 'https://openalex.org/W2158512712', 'https://openalex.org/W2166215547', 'https://openalex.org/W2892211799', 'https://openalex.org/W3122586954', 'https://openalex.org/W3124461761', 'https://openalex.org/W3124475197', 'https://openalex.org/W3124973140', 'https://openalex.org/W4236670843'], 'related_works': ['https://openalex.org/W3123376927', 'https://openalex.org/W3022910079', 'https://openalex.org/W2739057522', 'https://openalex.org/W2342897532', 'https://openalex.org/W2239527829', 'https://openalex.org/W2155625111', 'https://openalex.org/W2154821347', 'https://openalex.org/W1840913346', 'https://openalex.org/W1558432738', 'https://openalex.org/W1531866461'], 'abstract_inverted_index': {'The': [0], 'authors': [1, 61], 'examined': [2], 'the': [3, 60, 79], 'role': [4], 'of': [5, 26, 46], 'volatility': [6, 21, 34, 68], 'premiums': [7], 'in': [8, 75], 'institutional': [9], 'investment': [10], 'portfolios.': [11], 'They': [12, 30], 'began': [13], 'by': [14, 84], 'defining': [15], 'and': [16, 41], 'calculating': [17], 'standardized': [18], 'returns': [19], 'to': [20, 66], 'exposure': [22, 69], 'for': [23], 'a': [24, 38], 'variety': [25], 'global': [27], 'asset': [28], 'markets.': [29], 'found': [31], 'that': [32, 63], 'shorting': [33], 'offers': [35], 'not': [36], 'only': [37], 'very': [39], 'high': [40], 'statistically': [42], 'significant': [43], 'Sharpe': [44, 82], 'ratio': [45, 83], 'approximately': [47], '1.0': [48], 'but': [49], 'also': [50], 'substantial': [51], 'tail': [52], 'risk.': [53], 'Although': [54], 'classic': [55], 'diversification': [56], 'benefits': [57], 'are': [58], 'limited,': [59], 'show': [62], 'modest': [64], 'allocations': [65], 'short': [67], 'could': [70], 'have': [71], 'enhanced': [72], 'long-term': [73], 'returns,': [74], 'one': [76], 'case': [77], 'increasing': [78], "portfolio's": [80], 'combined': [81], '12%.': [85]}, 'cited_by_api_url': 'https://api.openalex.org/works?filter=cites:W1840913346', 'counts_by_year': [{'year': 2023, 'cited_by_count': 1}, {'year': 2021, 'cited_by_count': 4}, {'year': 2020, 'cited_by_count': 2}, {'year': 2019, 'cited_by_count': 3}, {'year': 2018, 'cited_by_count': 2}, {'year': 2017, 'cited_by_count': 2}, {'year': 2016, 'cited_by_count': 1}], 'updated_date': '2024-12-14T09:42:18.503864', 'created_date': '2016-06-24'}