Mispriced Index Option Portfolios
收藏NBER2017-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w23708
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资源简介：
The optimal portfolio of a utility-maximizing investor trading in the S&P 500 index and cash, subject to proportional transaction costs, becomes stochastically dominated when overlaid with a zero-net-cost portfolio of S&P 500 options bought at their ask and written at their bid price in most months
提供机构：
美国国家经济研究局
创建时间：
2017-08-01
