An Empirical Portfolio Perspective on Option Pricing Anomalies*
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Publication:5438488
DOI10.1093/rof/rfm024zbMath1153.91488OpenAlexW2152013510MaRDI QIDQ5438488
Pascal Maenhout, Joost Driessen
Publication date: 23 January 2008
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/f3ba28b656edf162d8b84dd6f914eb24216355da
Related Items (10)
Risk-adjusted option-implied moments ⋮ Optimal portfolio positioning within generalized Johnson distributions ⋮ Equilibrium open interest ⋮ Systemic risk of optioned portfolio: controllability and optimization ⋮ On the optimality of path-dependent structured funds: the cost of standardization ⋮ Risk premiums in a simple market model for implied volatility ⋮ Markowitz with regret ⋮ Diversification with options and structured products ⋮ Multistage portfolio optimization with stocks and options ⋮ On volatility smile and an investment strategy with out-of-the-money calls
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