An Empirical Portfolio Perspective on Option Pricing Anomalies

132 citations recorded by the source corpus.

Subfields: Finance

Citations in the corpus

Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “…this framework has been employed in recent asset allocation studies so as to capture the presence of loss aversion (see e.g., Ang et al., 2005, Driessen and Maenhout, 2007, Kostakis et al., 2010), i.e. the fact that investors are more sensitive to reductions in their financial wealth than to…”
The Skew Risk Premium in the Equity Index Market (2013, unknown): “…to skew risk (the connection of the variance risk premium and the well-known leverage eﬀect, has been highlighted in the literature (Carr and Wu 2009, Bollerslev et al. 2009, Driessen and Maenhout 2007, Jones 2003)), and once that is hedged away the proﬁt from writing variance swaps also vanishes.”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, unknown): “, Coval and Shumway, 2001; and Santa-Clara and Saretto, 2009) and the economic benefits of giving investors access to derivatives when they solve the portfolio choice problem (e.g., Constantinides et al., 2009; Driessen and Maenhout, 2007; Liu and Pan, 2003).”
Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model (2008, unknown): “Further, using again the tax correction of Elton et al. (2001), both the level and shape of the observed and model-generated term structures are very similar.”