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Efficiency Analysis and Option Portfolio Selection
16 references·1 citing·32 second hop
Efficiency Analysis and Option Portfolio Selection (1985)Efficiency Analysis and Option Portfolio …Third-Degree Stochastic Dominance (2016)Third-Degree Stochastic Domin…Semivariance and Stochastic Dominance: A Comparison (2016)Semivariance and Stochastic D…Theory of rational option pricing (2005)Theory of rational option pri…Who Should Buy Portfolio Insurance? (1980)Who Should Buy Portfolio Insu…Trading costs for listed options (1980)Trading costs for listed opti…The information content of option prices and a test of market efficiency (1978)The information content of op…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…Prices for State-Contingent Claims: Some Estimates and Applications (1978)Prices for State-Contingent C…Tests of Market Efficiency of the Chicago Board Options Exchange (1977)Tests of Market Efficiency of…Options and Efficiency (1976)Options and EfficiencyOptimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …Do Winners Perform Better Than Losers? A Stochastic Dominance Approach (2006)Do Winners Perform Better Tha…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)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)Theory of Rational Option Pricing (1973)An Empirical Examination of the Black-Scholes Call Option Pricing Model (1979)Option Prices as Predictors of Equilibrium Stock Prices (1982)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Utility Analysis of Choices Involving Risk (1948)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Recovering Risk Aversion from Option Prices and Realized Returns (2000)Spanning and derivative-security valuation (2000)Neglected risks, financial innovation, and financial fragility (2011)Chapter 2 Measurement of inequality (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)The effect of estimation risk on optimal portfolio choice (1976)Capital market equilibrium in a mean-lower partial moment framework (1977)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 1976Options and Efficiency830 cited
  • 1962Admissibility and Measurable Utility Functions559 cited
  • 1978The information content of option prices and a test of market efficiency485 cited
  • 2016Third-Degree Stochastic Dominance483 cited
  • 1980Who Should Buy Portfolio Insurance?392 cited
  • 1978Prices for State-Contingent Claims: Some Estimates and Applications244 cited
  • 1980Trading costs for listed options207 cited
  • 1977Tests of Market Efficiency of the Chicago Board Options Exchange199 cited
  • 2016Semivariance and Stochastic Dominance: A Comparison155 cited

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Cited by

  • 2006Do Winners Perform Better Than Losers? A Stochastic Dominance Approach32 cited