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Browsing Articles by Subject "portfolio"

Browsing Articles by Subject "portfolio"

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  • Constantinides, George M.; Czerwonko, Michal; Perrakis, Stylianos (Financial Management, 2019)
    In model-free out-of-sample tests, we find that the optimal portfo lio of a utility maximizing investor trading in the S&P500 Index, cash, and index options bought at ask and written at bid prices stochas tically dominates ...