LAUSR

About LAUSR
Donate
Contact Us

Follow us:

You are not signed in:

Sign Up!


   Articles with "mispriced index" as a keyword



Photo by sharonmccutcheon from unsplash

Mispriced index option portfolios

Sign Up to like & get
recommendations! Published in 2019 at "Financial Management"

DOI: 10.1111/fima.12288

Abstract: In model-free out-of-sample tests, we show that the optimal portfolio of a utility-maximizing investor trading in the S&P 500 index, cash, and index options bought at their ask and written at their bid prices stochastically… read more here.

Keywords: mispriced index; index; option portfolios; index option ... See more keywords