Che, Sanry Y.S.; Fung, Joseph K.W. - In: Journal of Futures Markets 31 (2011) 12, pp. 1202-1227
This study compares the performance of a conventional buy‐write (or covered call writing) and a dynamic buy‐write strategy. The conventional strategy generally enhances portfolio returns in low volatility conditions but underperforms the underlying cash asset in sharply rising markets. The...