| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23708 |
| 来源ID | Working Paper 23708 |
| Mispriced Index Option Portfolios | |
| George M. Constantinides; Michal Czerwonko; Stylianos Perrakis | |
| 发表日期 | 2017-08-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most months over 1990-2013. Dominance is prevalent when the ATM-IV is high, right skew is low, and option maturity is short. The portfolios include mostly calls and positions are overwhelmingly short. Similar results obtain with options on the CAC and DAX indices. The results are explained neither by priced factors nor a non-monotonic stochastic discount factor. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w23708 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581379 |
| 推荐引用方式 GB/T 7714 | George M. Constantinides,Michal Czerwonko,Stylianos Perrakis. Mispriced Index Option Portfolios. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23708.pdf（597KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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