USE OF OPTIONS TO INCREASE AND REDUCE VOLATILITY IN THE MARKET PORTFOLIO BASED ON PAST VOLATILITY

Mantilla Sanchez, Pedro; Najib, Fayez

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dc.contributor.author	Mantilla Sanchez, Pedro
dc.contributor.author	Najib, Fayez
dc.date.accessioned	2023-12-27T06:25:42Z
dc.date.available	2023-12-27T06:25:42Z
dc.date.issued	2021-12-21
dc.identifier.citation	Mantila, Pedro. Najib, Fayez. (2021) Use of options to increase and reduce volatility in the market portfolio based on past volatility. Nazarbayev University, Graduate School of Business	en_US
dc.identifier.uri	http://nur.nu.edu.kz/handle/123456789/7567
dc.description.abstract	This paper verifies under realistic trading conditions the results in Moreira and Muir (2017) which shows that leveraging/deleveraging the index portfolio according to its past volatility with the use of index options brings extra risk-adjusted profits. We use as a proxy for the market portfolio the S&P 500 index in the period of 1996-2020 and use Chicago Board of Exchange (CBOE) traded options on this index. Leveraging/deleveraging with 30-day to maturity options yields negative extra profits irrespectively of trading at the bid/ask or at the quote midpoint. Our results imply that the improvement shown in Moreira and Muir (2017) was due to the combination of very frequent (daily) rebalancing in their portfolios and trading at the quote midpoint.	en_US
dc.language.iso	en	en_US
dc.publisher	Nazarbayev University, Graduate School of Business	en_US
dc.rights	Attribution-NonCommercial-NoDerivs 3.0 United States	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.subject	Type of access: Restricted	en_US
dc.title	USE OF OPTIONS TO INCREASE AND REDUCE VOLATILITY IN THE MARKET PORTFOLIO BASED ON PAST VOLATILITY	en_US
dc.type	Master's thesis	en_US
workflow.import.source	science