Search Results - subject:"S%P 100"

Driven mechanisms of board commitment : a modified corporate CANE model

Trinh, Vu Quang; Ngan Duong Cao; Xuan Vinh Vo - In: European management journal 41 (2023) 1, pp. 21-33

Persistent link: https://www.econbiz.de/10014281785

Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of Risk and Financial Management 9 (2016) 4, pp. 1-14

-sample and out-of-sample simulations for portfolios of stocks from the Dow Jones, S&P 100 and DAX indices. The considered … portfolios' SSD dominate the Dow Jones, S&P 100 and DAX indices. Simulation demonstrated a superior performance of portfolios …

Persistent link: https://www.econbiz.de/10011843276

Portfolios dominating indices : optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 9 (2016) 4, pp. 1-14

-sample and out-of-sample simulations for portfolios of stocks from the Dow Jones, S&P 100 and DAX indices. The considered … portfolios’ SSD dominate the Dow Jones, S&P 100 and DAX indices. Simulation demonstrated a superior performance of portfolios …

Persistent link: https://www.econbiz.de/10011543019

The value of the wildcard option in cash-settled American index options

Lasser, Dennis J.; Spizman, Joshua D. - In: Journal of financial markets 28 (2016), pp. 116-131

Persistent link: https://www.econbiz.de/10011722239

Is S&P100 index a mean-variance efficient portfolio?

Robbani, Mohammad G.; Jain, Ajeet - In: International journal of financial research 7 (2016) 5, pp. 1-6

Persistent link: https://www.econbiz.de/10011579722

Uncovering a positive risk-return relation : the role of implied volatility index

Kanas, Angelos - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 159-170

Persistent link: https://www.econbiz.de/10010345140

Variance-constrained canonical least-squares Monte Carlo : an accurate method for pricing American options

Liu, Qiang; Guo, Shuxin - In: The North American journal of economics and finance : a … 28 (2014), pp. 77-89

Persistent link: https://www.econbiz.de/10010461176

Uncovering a positive risk-return relation: the role of implied volatility index

Kanas, Angelos - In: Review of Quantitative Finance and Accounting 42 (2014) 1, pp. 159-170

We report empirical evidence suggesting a strong and positive risk-return relation for the daily S&P 100 market index …

Persistent link: https://www.econbiz.de/10010867738

Variance-constrained canonical least-squares Monte Carlo: An accurate method for pricing American options

Liu, Qiang; Guo, Shuxin - In: The North American Journal of Economics and Finance 28 (2014) C, pp. 77-89

volatility implied under vCLM by the option's market price from a previous trading day. For 16,249 American-style S&P 100 index …

Persistent link: https://www.econbiz.de/10010777018

The VIX, VXO and realised volatility: a test of lagged and contemporaneous relationships

Adhikari, Binay K.; Hilliard, Jimmy E. - In: International Journal of Financial Markets and Derivatives 3 (2014) 3, pp. 222-240

formulation as the implied volatility of an option on the S%P 100 index and its later incarnation based on the fair price of a …

Persistent link: https://www.econbiz.de/10010817021