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Are Options on Index Futures Profitable for Risk Averse Investors? : Empirical Evidence

Are Options on Index Futures Profitable for Risk Averse Investors? : Empirical Evidence

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CONSTANTINIDES, George M., Michal CZERWONKO, Jens Carsten JACKWERTH, Stylianos PERRAKIS, 2008. Are Options on Index Futures Profitable for Risk Averse Investors? : Empirical Evidence

@techreport{Constantinides2008Optio-12156, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Are Options on Index Futures Profitable for Risk Averse Investors? : Empirical Evidence}, year={2008}, number={2008/08}, author={Constantinides, George M. and Czerwonko, Michal and Jackwerth, Jens Carsten and Perrakis, Stylianos} }

eng Jackwerth, Jens Carsten 2008 application/pdf Constantinides, George M. Perrakis, Stylianos American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid prices do, while evidence of underpriced calls and puts over this period is scant. In out-of-sample tests, the inclusion of short positions in such overpriced calls, puts, and, particularly, straddles in the market portfolio is shown to increase the expected utility of any risk averse investor and also increase the Sharpe ratio, net of transaction costs and bid-ask spreads. The results are strongly supportive of mispricing. 2011-03-25T09:43:06Z Czerwonko, Michal Are Options on Index Futures Profitable for Risk Averse Investors? : Empirical Evidence Jackwerth, Jens Carsten Czerwonko, Michal Constantinides, George M. deposit-license 2011-03-25T09:43:06Z Perrakis, Stylianos

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Version103JFpaper May 18 09_2009CCJP.pdf 124
Are_Options_on_Index_Futures_Profitable.pdf 84

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