highly attractive skewness-kurtosis profi le. In the presence of transactions costs that depend on an option's moneyness and … sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …

rational expectations equilibrium model with asymmetric information and a full menu of call and put options available for …

return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The …