Asset allocation and derivatives

85 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The Information of Option Volume for Future Stock Prices (2004, unknown): “…risk factors such as stochastic volatility and jumps [Bates (2001), Liu and Pan (2003)], to mimic dynamic portfolio strategies in a static setting [Haugh and Lo (2001)], to hedge background risk [Franke, Stapleton, and Subrahmanyam (1998)], and to express differences of opinion [Kraus and Smith…”
Can Hedge-Fund Returns Be Replicated?: The Linear Case (2006, unknown): “In fact, Haugh and Lo (2001) show that a judiciously constructed fixed-weight portfolio of simple put and call options can yield an excellent approximation to certain dynamic trading strategies, and this approach can be adopted in our context to create better clones.”
Dynamic Asset Allocation with Event Risk (2001, unknown): “Haugh and Lo (2001) show that options can alleviate some of the cost associated with the buy-and-hold constraint.”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “In line with Liu and Pan (2003), log investors hold small long positions in the put or straddle, while more risk-averse investors have very 18 Haugh and Lo (2001) analyze to what extent buy-and-hold portfolios of options allow investors to achieve certain dynamic investment policies in an…”