English, Article, Journal or magazine article edition: Avaliação de Estratégias de Investimento com Opções Ana Cristina Fernandes; Carlos Machado-Santos

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/182803
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Avaliação de Estratégias de Investimento com Opções
Author
  • Ana Cristina Fernandes
  • Carlos Machado-Santos
Physical Description
  • preprint
Notes
  • The financial literature has revealed that option strategies originate asymmetric return distributions, providing new investment opportunities, especially in the control and reduction of risk. In this way, it is important to evaluate the performance of investment strategies that result from the combination of stock and option positions. On the other hand, given the inadequacy of the measures based upon mean and variance, new evaluation methodologies have been developed and adapted to the context of such investment strategies, of which we highlight the work of Leland (1999), that proposes a modification of the traditional risk measure (beta) of CAPM to incorporate other moments of the return distributions. In this context, we applied the methodology of Leland on six dynamic hedging strategies with options on the Index FTSE 100 in the sense of evaluating its performance. The results indicate that the new risk measure is more statistical significant than the traditional beta of CAPM, for that the information supplied by the measure of the performance (modified alpha) seems to be more reliable. On the other hand, the values of modified alphas reveal that these dynamic strategies result in excess returns close to zero (as theoretically expected), denouncing that the market price of these options appears to be in equilibrium.
  • risk management, skewness, option strategies
  • RePEc:por:fepwps:113
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment