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Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options
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...
Persistent link: https://www.econbiz.de/10010679172
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Swaps
Decovny, Sherree - 1992
Persistent link: https://www.econbiz.de/10004135767
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Das Swapsatzrisiko : Einflußfaktoren und Absicherungsalternativen
Hagen, Norbert - 1992
Persistent link: https://www.econbiz.de/10004141623
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Financial futures, options, and swaps
Tucker, Alan L. - 1990
Persistent link: https://www.econbiz.de/10004117565
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Swap-Finanzierung : Grundtypen, Varianten, Risiken
Peters, Joerg - 1990
Persistent link: https://www.econbiz.de/10004086324
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The handbook of currency and interest rate risk management
Schwartz, Robert J. (contributor) - 1990
Persistent link: https://www.econbiz.de/10004100407
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Swap financing : interest rate and currency swaps, LTFX, FRAs, caps, floors and collars ; structures, pricing, applications and markets
Das, Satyajit (contributor) - 1989
Persistent link: https://www.econbiz.de/10004102729
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The swaps handbook : swaps and related risk management instruments
Kapner, Kenneth R.; Marshall, John F. - 1990
Persistent link: https://www.econbiz.de/10004102974
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Zins- und Währungsswaps als innovative Finanzinstrumente
Andres, Martina - 1989
Persistent link: https://www.econbiz.de/10004066176