Akuzawa, Toshinao; Nishiyama, Yoshihiko - In: The North American Journal of Economics and Finance 25 (2013) C, pp. 335-357
We propose a criterion for portfolio selection, implied excess Sharpe ratio. The implied excess Sharpe ratio is intended as an excess Sharpe ratio (versus the underlying stock) that investors can expect to enjoy from portfolios that include options and is a useful ex ante indicator that can be...
