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Options and investment strategies
16 references·1 citing·46 second hop
Options and investment strategies (1990)Options and investment strategiesPrice Changes of Related Securities: The Case of Call Options and Stocks (1987)Price Changes of Related Secu…On Determination of Stochastic Dominance Optimal Sets (1985)On Determination of Stochasti…A Risk-Return Measure of Hedging Effectiveness (1984)A Risk-Return Measure of Hedg…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets (1979)An Efficient Algorithm to Det…Welfare Aspects of Options and Supershares (1978)Welfare Aspects of Options an…WELFARE ASPECTS OF OPTIONS AND SUPERSHARES (1978)WELFARE ASPECTS OF OPTIONS AN…The Returns and Risk of Alternative Call Option Portfolio Investment Strategies (1978)The Returns and Risk of Alter…The information content of option prices and a test of market efficiency (1978)The information content of op…ORDERING UNCERTAIN OPTIONS WITH BORROWING AND LENDING (1978)ORDERING UNCERTAIN OPTIONS WI…Options and Efficiency (1976)Options and EfficiencyFutures Trading and Market Information (1976)Futures Trading and Market In…Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply (1975)Efficient Algorithms for Cond…Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios (1973)Efficient Algorithms for Cond…A Model for the Determination of Firm Cash Balances (1966)A Model for the Determination…The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches (2010)The Impact of Option Strategi…Mutual Fund Performance (1966)Rules for Ordering Uncertain Prospects (1969)The Efficiency Analysis of Choices Involving Risk (1969)Extension of stochastic dominance theory to random variables (1999)Data envelopment analysis of mutual funds based on second-order stochastic dominance (2007)Portfolio Choice Based on Third-Degree Stochastic Dominance (2016)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Fact and Fantasy in the Use of Options (1975)Expected Option Returns (1999)Expected Option Returns (2001)On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts (2011)Theory of Rational Option Pricing (1973)Some anomalous evidence regarding market efficiency (1978)Forecasting Volatility in Financial Markets: A Review (2003)Variance Risk Premiums (2008)Rational Expectations and the Theory of Price Movements (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The degree of price resolution: The case of the gold market (1985)Index- Based Futures And Options Markets In Real Estate (1993)Futures trading, information and spot price volatility: evidence for the FTSE-100 stock index futures contract using GARCH (1995)The Use of Knowledge in Society (1996)The Economic Theory of Agency: The Principal's Problem. (1973)Prices of State-Contingent Claims Implicit in Option Prices (1978)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Demand-Based Option Pricing (2005)An Engine, Not a Camera (2006)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Research Bibliography—Stochastic Dominance: A Research Bibliography (1982)Theory of Financial Decision Making. (1988)Market Reaction to Quarterly Earnings' Announcements: A Stochastic Dominance Based Test of Market Efficiency (1989)The pricing of commodity contracts (1976)The Theory of Hedging and Speculation in Commodity Futures (1976)The Hedging Performance of the New Futures Markets (1979)The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures (1991)A new measure to compare the hedging effectiveness of foreign currency futures versus options (1994)Futures hedge ratios: a review (2003)On the Experimental Attainment of Optimum Conditions (1992)Informed Trading in Stock and Option Markets (2004)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)
this work references cited by second hop

References

  • 1976Options and Efficiency830 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1976Futures Trading and Market Information294 cited
  • 1987Price Changes of Related Securities: The Case of Call Options and Stocks192 cited
  • 1984A Risk-Return Measure of Hedging Effectiveness177 cited
  • 1978The Returns and Risk of Alternative Call Option Portfolio Investment Strategies141 cited
  • 1978ORDERING UNCERTAIN OPTIONS WITH BORROWING AND LENDING123 cited
  • 1985On Determination of Stochastic Dominance Optimal Sets111 cited
  • 1975Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios: Reply79 cited
  • 1978WELFARE ASPECTS OF OPTIONS AND SUPERSHARES71 cited
  • 1973Efficient Algorithms for Conducting Stochastic Dominance Tests on Large Numbers of Portfolios61 cited
  • 1979An Efficient Algorithm to Determine Stochastic Dominance Admissible Sets55 cited
  • 1966A Model for the Determination of Firm Cash Balances51 cited

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1978
Welfare Aspects of Options and Supershares
51 cited

Cited by

  • 2010The Impact of Option Strategies in Financial Portfolios Performance: Mean-Variance and Stochastic Dominance Approaches18 cited