We investigate the risk and return of a variety of trading strategies involving options on the Samp;P 500. Overall, we find that strategies that short options constitute very good deals. However, exploiting these good deals can be extremely difficult. Trading costs and margin requirements...

We study an institutional investment problem in which a centralized decision maker, the Chief Investment Officer (CIO), for example, employs multiple asset managers to implement and execute investment strategies in separate asset classes. The CIO allocates capital to the managers who, in turn,...