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Essays on Options and Portfolio Management

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  • Al-Jaaf, Aşty

Abstract

This dissertation investigates several research topics on options. The first article explores the properties of the dividend variance and skewness risk premium and whether dividend futures excess returns are predictable by them. The second article examines the usefulness of model-free option implied upside and downside volatilities to enhance the performance of portfolios consisting of US large cap stocks. The third article shows how an investor should use options and the forward given that she either thinks the level, slope or convexity of the respective implied variance curve should be higher or lower than currently priced.

Suggested Citation

  • Al-Jaaf, Aşty, 2024. "Essays on Options and Portfolio Management," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 146861, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:146861
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/146861/
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