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Option Portfolio Strategies: Measurement and Evaluation
7 references·11 citing·38 second hop
Option Portfolio Strategies: Measurement and Evaluation (1984)Option Portfolio Strategies: Measurement …The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies (1982)The Returns and Risks of Alte…Spanning the State Space with Options (1980)Spanning the State Space with…The Returns and Risk of Alternative Call Option Portfolio Investment Strategies (1978)The Returns and Risk of Alter…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974) (1976)Stocks, Bonds, Bills, and Inf…Options and Efficiency (1976)Options and EfficiencyThe Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…Portfolio optimization in an upside potential and downside risk framework (2013)Portfolio optimization in an …Behavioral Aspects of Covered Call Writing: An Empirical Investigation (2012)Behavioral Aspects of Covered…The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches (2010)The Impact of Option Strategi…Hedging the exchange rate risk in international portfolio diversification (2007)Hedging the exchange rate ris…Do Winners Perform Better Than Losers? A Stochastic Dominance Approach (2006)Do Winners Perform Better Tha…Volatility trade design (2005)Volatility trade designImproving Portfolio Performance with Option Strategies: Evidence from Switzerland (2001)Improving Portfolio Performan…The performance of covered calls (2000)The performance of covered ca…Shortfall-Risiko / Excess-Chance-Entscheidungskalküle (1998)Shortfall-Risiko / Excess-Cha…Portfolio insurance: a simulation under different market conditions (1990)Portfolio insurance: a simula…AN EMPIRICAL ANALYSIS OF INSURED PORTFOLIO STRATEGIES USING LISTED OPTIONS (1988)AN EMPIRICAL ANALYSIS OF INSU…The Pricing of Options and Corporate Liabilities (1973)STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)Theory of rational option pricing (2005)The benefits of option use by mutual funds (2016)Fact and Fantasy in the Use of Options (1975)Expected Option Returns (1999)Passive Options-Based Investment Strategies (2005)Essays in the Theory of Risk-Bearing. (1972)Portfolio Theory and Capital Markets. (1972)An aggregation theorem for securities markets (1974)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Statistical properties of the sample semi-variance (2002)Portfolio selection problem with Value-at-Risk constraints under non-extensive statistical mechanics (2015)Optimal portfolios with downside risk (2016)Theory of games and economic behavior (2019)PORTFOLIO SELECTION* (1952)Rules for Ordering Uncertain Prospects (1969)Nonlinear portfolio selection using approximate parametric Value-at-Risk (2013)The pricing of commodity contracts (1976)Efficient Analytic Approximation of American Option Values (1987)Empirical Performance of Alternative Option Pricing Models (1997)Informed trading, trading strategies and the information content of trading volume: Evidence from the Taiwan index options market (2014)Trading costs for listed options (1980)Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results (1987)The Shrinking Equity Premium (1999)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Neglected risks, financial innovation, and financial fragility (2011)Futures markets and commodity options: Hedging and optimality in incomplete markets (1984)Why Do Option Introductions Depress Stock Prices? An Empirical Study of Diminishing Short-Sale Constraints (2000)Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach (2012)
this work references cited by second hop

References

  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1976Options and Efficiency830 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 1976Stocks, Bonds, Bills, and Inflation: Year-by-Year Historical Returns (1926-1974)212 cited
  • 1978The Returns and Risk of Alternative Call Option Portfolio Investment Strategies141 cited
  • 1982The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies83 cited
  • 1980Spanning the State Space with Options83 cited

Cited by

  • 2013Portfolio optimization in an upside potential and downside risk framework52 cited
  • 2001Improving Portfolio Performance with Option Strategies: Evidence from Switzerland39 cited
  • 2005Volatility trade design37 cited
  • 2006Do Winners Perform Better Than Losers? A Stochastic Dominance Approach32 cited
  • 1988AN EMPIRICAL ANALYSIS OF INSURED PORTFOLIO STRATEGIES USING LISTED OPTIONS28 cited
  • 2007Hedging the exchange rate risk in international portfolio diversification26 cited
  • 1990Portfolio insurance: a simulation under different market conditions25 cited
  • 2000The performance of covered calls

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24 cited
  • 2012Behavioral Aspects of Covered Call Writing: An Empirical Investigation21 cited
  • 2010The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches18 cited
  • 1998Shortfall-Risiko / Excess-Chance-Entscheidungskalküle3 cited