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Passive Options-Based Investment Strategies
15 references·5 citing·49 second hop
Passive Options-Based Investment Strategies (2005)Passive Options-Based Investment Strategi…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Why Are Put Options So Expensive? (2014)Why Are Put Options So Expens…Market Price of Variance Risk and Performance of Hedge Funds (2005)Market Price of Variance Risk…Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Does Net Buying Pressure Affe…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…Return and Risk of CBOE Buy Write Monthly Index (2002)Return and Risk of CBOE Buy W…Tracking S&P 500 Index Funds (2001)Tracking S&P 500 Index FundsDo Call Prices and the Underlying Stock Always Move in the Same Direction? (2000)Do Call Prices and the Underl…A Portfolio Performance Index (2000)A Portfolio Performance IndexBeyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (1999)Beyond Mean–Variance: Perform…Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected) (1999)Beyond Mean–Variance: Perform…Psychology and Economics (1997)Psychology and EconomicsThe Demand for Capital Market Returns: A New Equilibrium Theory (1984)The Demand for Capital Market…The Returns and Risk of Alternative Call Option Portfolio Investment Strategies (1978)The Returns and Risk of Alter…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Socially responsible investment sukuk (Islamic bond) development in Malaysia (2020)Socially responsible investme…It is not an investment if it is destroying the planet (2019)It is not an investment if it…Covered Calls Uncovered (2015)Covered Calls UncoveredA Synthesis of Modern Portfolio Theoryand Sustainable Investment (2012)A Synthesis of Modern Portfol…The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes (2009)The Cash-secured PutWrite Str…A model of investor sentiment /Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Individual differences in reasoning: Implications for the rationality debate? 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(2012)Volatility and the cross-section of corporate bond returns (2019)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)Risk Aversion in the Small and in the Large (1964)An Intertemporal Capital Asset Pricing Model (1973)Different Approaches to Risk Estimation in Portfolio Theory (2004)Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008)Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance (2008)Risk Aversion in the Small and in the Large (1976)A Nonlinear Factor Analysis of S&P 500 Index Option Returns (2006)Conditional Risk Premia in Currency Markets and Other Asset Classes (2013)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Limits of Arbitrage (1995)Demand-Based Option Pricing (2005)Liquidity and Asset Prices (2006)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010)Explaining asset pricing puzzles associated with the 1987 market crash (2011)The Skew Risk Premium in the Equity Index Market (2013)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1997Psychology and Economics2,494 cited
  • 2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?991 cited
  • 2002The Statistics of Sharpe Ratios842 cited
  • 1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World (corrected)276 cited
  • 2014Why Are Put Options So Expensive?239 cited
  • 1999Beyond Mean–Variance: Performance Measurement in a Nonsymmetrical World223 cited
  • 2001Tracking S&P 500 Index Funds201 cited
  • 2000Do Call Prices and the Underlying Stock Always Move in the Same Direction?191 cited
  • 2000A Portfolio Performance Index169 cited
  • 1978The Returns and Risk of Alternative Call Option Portfolio Investment Strategies141 cited
  • 2005Market Price of Variance Risk and Performance of Hedge Funds124 cited
  • 2002Return and Risk of CBOE Buy Write Monthly Index114 cited
  • 1984The Demand for Capital Market Returns: A New Equilibrium Theory64 cited

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  • 2020

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Socially responsible investment sukuk (Islamic bond) development in Malaysia
34 cited
  • 2015Covered Calls Uncovered34 cited
  • 2019It is not an investment if it is destroying the planet32 cited
  • 2009The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes32 cited
  • 2012A Synthesis of Modern Portfolio Theoryand Sustainable Investment30 cited