Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options
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DOI: 10.1016/j.najef.2012.06.006
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- Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2013. "Institutional changes of SPACs," MPRA Paper 44181, University Library of Munich, Germany.
- Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2013. "Institutional changes of SPACs," EconStor Preprints 68589, ZBW - Leibniz Information Centre for Economics.
- Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic, 2013. "On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)," PIER Working Paper Archive 13-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Hammoudeh, Shawkat & McAleer, Michael, 2013.
"Risk management and financial derivatives: An overview,"
The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 109-115.
- Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Working Papers in Economics 12/10, University of Canterbury, Department of Economics and Finance.
- Shawkat Hammoudeh & Michael McAleer, 2012. "Risk Management and Financial Derivatives: An Overview," Documentos de Trabajo del ICAE 2012-08, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer & Shawkat Hammoudeh, 2012. "Risk Management and Financial Derivatives:An Overview," KIER Working Papers 816, Kyoto University, Institute of Economic Research.
- Hammoudeh, S.M. & McAleer, M.J., 2012. "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers EI 2012-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Gupta, Anshul & Akuzawa, Toshinao & Nishiyama, Yoshihiko, 2013. "Quantitative evaluation of contingent capital and its applications," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 457-486.
- Huang, Hung-Hsi & Wang, Ching-Ping, 2013. "Portfolio selection and portfolio frontier with background risk," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 177-196.
- Lu, Jin-Ray & Li, Xiu-Yan, 2021. "Identifying the fair value of Sharpe ratio by an option valuation approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 63-70.
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Keywords
Portfolio selection; Option; Excess Sharpe ratio; Stock lending fee;All these keywords.
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