MISPRICED INDEX OPTION PORTFOLIOS

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dc.contributor.authorConstantinides, George M.
dc.contributor.authorCzerwonko, Michal
dc.contributor.authorPerrakis, Stylianos
dc.date.accessioned2022-07-08T10:33:12Z
dc.date.available2022-07-08T10:33:12Z
dc.date.issued2019
dc.description.abstractIn 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 the optimal portfolio without options and yields returns with higher mean and lower volatility in most months from 1990 to 2013. Unlike earlier claims of overpriced puts, our portfolios include mostly short calls and are particularly profitable when matu rity is short and volatility is high. Similar results are obtained with the CAC and DAX indices. Neither priced factors nor a nonmonotonic stochastic discount factor explains the excess returns.en_US
dc.identifier.citationConstantinides, G. M., Czerwonko, M., & Perrakis, S. (2019). Mispriced index option portfolios. Financial Management, 49(2), 297–330. https://doi.org/10.1111/fima.12288en_US
dc.identifier.urihttp://nur.nu.edu.kz/handle/123456789/6388
dc.language.isoenen_US
dc.publisherFinancial Managementen_US
dc.rightsAttribution-NonCommercial-ShareAlike 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/us/*
dc.subjectType of access: Open Accessen_US
dc.subjectportfolioen_US
dc.titleMISPRICED INDEX OPTION PORTFOLIOSen_US
dc.typeArticleen_US
workflow.import.sourcescience

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