Performance expectations of basic options strategies may be different than you think
| Autor: | Steven P. Clark, Mike Dickson |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
040101 forestry
050208 finance Information Systems and Management business.industry Strategy and Management 05 social sciences 04 agricultural and veterinary sciences Monetary economics Volatility risk premium 0502 economics and business Economics 0401 agriculture forestry and fisheries Business and International Management Duration (project management) Short exposure Empirical evidence business Excess return health care economics and organizations Risk management Financial services |
| Zdroj: | Journal of Asset Management. 20:91-102 |
| ISSN: | 1479-179X 1470-8272 |
| DOI: | 10.1057/s41260-019-00111-x |
| Popis: | There is much empirical evidence for the existence of a negative volatility risk premium. We consider how the volatility risk premium affects the returns of portfolios implementing seven popular option strategies. We find that option selling generates substantial excess return as well as risk mitigation by providing short exposure to the volatility risk premium. Net option buying is able to protect against extreme losses, however, these losses are very infrequent and short lived. Even during these periods, the long net exposure to the volatility risk premium erodes protection as the depth and duration of the losses persist. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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