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An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options

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  • Gary L. Trennepohl
  • James R. Booth
  • Hassan Tehranian

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  • Gary L. Trennepohl & James R. Booth & Hassan Tehranian, 1988. "An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 1-12, March.
    • Handle: RePEc:bla:jfnres:v:11:y:1988:i:1:p:1-12
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1988.tb00061.x
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    References listed on IDEAS

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    1. Benninga, Simon & Blume, Marshall E, 1985. "On the Optimality of Portfolio Insurance," Journal of Finance, American Finance Association, vol. 40(5), pages 1341-1352, December.
    2. Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1982. "The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies," The Journal of Business, University of Chicago Press, vol. 55(1), pages 1-55, January.
    3. Sears, R. Stephen & Trennepohl, Gary L., 1982. "Measuring Portfolio Risk in Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 391-409, September.
    4. Booth, James R. & Tehranian, Hassan & Trennepohl, Gary L., 1985. "Efficiency Analysis and Option Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(4), pages 435-450, December.
    5. R. Stephen Sears & Gary L. Trennepohl, 1983. "Diversification And Skewness In Option Portfolios," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(3), pages 199-212, September.
    6. Hakansson, Nils H, 1978. "Welfare Aspects of Options and Supershares," Journal of Finance, American Finance Association, vol. 33(3), pages 759-776, June.
    7. Brennan, M.J. & Solanki, R., 1981. "Optimal Portfolio Insurance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(3), pages 279-300, September.
    8. Geske, Robert & Roll, Richard, 1984. "On Valuing American Call Options with the Black-Scholes European Formula," Journal of Finance, American Finance Association, vol. 39(2), pages 443-455, June.
    9. Bookstaber, Richard & Clarke, Roger, 1984. "Option Portfolio Strategies: Measurement and Evaluation," The Journal of Business, University of Chicago Press, vol. 57(4), pages 469-492, October.
    10. Levy, Haim & Kroll, Yoram, 1979. "Efficiency Analysis with Borrowing and Lending: Criteria and Their Effectiveness," The Review of Economics and Statistics, MIT Press, vol. 61(1), pages 125-130, February.
    11. Johnson, H. E., 1983. "An Analytic Approximation for the American Put Price," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(1), pages 141-148, March.
    12. Sterk, William, 1982. "Tests of Two Models for Valuing Call Options on Stocks with Dividends," Journal of Finance, American Finance Association, vol. 37(5), pages 1229-1237, December.
    13. Simon Benninga & Marshall Blume, "undated". "On the Optimality of Portfolio Insurance," Rodney L. White Center for Financial Research Working Papers 05-85, Wharton School Rodney L. White Center for Financial Research.
    14. Nils H. Hakansson., 1978. "Welfare Aspects of Options and Supershares," Research Program in Finance Working Papers 68, University of California at Berkeley.
    15. Leland, Hayne E, 1980. "Who Should Buy Portfolio Insurance?," Journal of Finance, American Finance Association, vol. 35(2), pages 581-594, May.
    16. Leland, Hayne E, 1985. "Option Pricing and Replication with Transactions Costs," Journal of Finance, American Finance Association, vol. 40(5), pages 1283-1301, December.
    17. James R. Booth & Richard L. Smith, 1987. "An Examination Of The Small-Firm Effect On The Basis Of Skewness Preference," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 77-86, March.
    18. Whaley, Robert E., 1982. "Valuation of American call options on dividend-paying stocks : Empirical tests," Journal of Financial Economics, Elsevier, vol. 10(1), pages 29-58, March.
    19. Sterk, William E., 1983. "Comparative Performance of the Black-Scholes and Roll-Geske-Whaley Option Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(3), pages 345-354, September.
    20. Blomeyer, Edward C., 1986. "An Analytic Approximation for the American Put Price for Options on Stocks with Dividends," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(2), pages 229-233, June.
    21. Tehranian, Hassan, 1980. "Empirical Studies in Portfolio Performance Using Higher Degrees of Stochastic Dominance," Journal of Finance, American Finance Association, vol. 35(1), pages 159-171, March.
    22. Simon Benninga & Marshall Blume, "undated". "On the Optimality of Portfolio Insurance," Rodney L. White Center for Financial Research Working Papers 5-85, Wharton School Rodney L. White Center for Financial Research.
    23. Stephen A. Ross, 1976. "Options and Efficiency," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 90(1), pages 75-89.
    24. Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1978. "The Returns and Risk of Alternative Call Option Portfolio Investment Strategies," The Journal of Business, University of Chicago Press, vol. 51(2), pages 183-242, April.
    25. Whaley, Robert E., 1981. "On the valuation of American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 9(2), pages 207-211, June.
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    Cited by:

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    2. J. Annaert & S. Van Osselaer & B. Verstraete, 2007. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/473, Ghent University, Faculty of Economics and Business Administration.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
    5. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.

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