sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk … eff ects on the optimal tail risk. In fact, even Greek e fficient portfolios for a mean-variance investor already o er a …

Rational investors are in general risk averse. An important implication of this risk aversion is that investors may … demand compensation for certain risks they take – risk premiums. Moment risk premiums are an example of such risk premiums …. They are defined as the difference between a particular statistical moment of the risk-neutral return distribution and the …

. Basierend auf einem neuen Options-implizierten Value-at-Risk (rVaR) Mass, wird gezeigt, dass Information aus Optionsmärkten … markets. Based on a novel rescaled option-implied Value-at-Risk (rVaR) measure, it is shown that option-implied information is … priced differently depending on whether it is based on options with strikes close to the current price of the underlying or …

This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all …

American-style options written on the stocks that have entered the Dow Jones Industrial Average Index between 2004 and 2016. We …