Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
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- George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2011. "Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence," Journal of Finance, American Finance Association, vol. 66(4), pages 1407-1437, August.
- Jackwerth, Jens Carsten & Constantinides, George M. & Czerwonko, Michal & Perrakis, Stelios, 2008. "Are options on index futures profitable for risk averse investors? Empirical evidence," CoFE Discussion Papers 08/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
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More about this item
JEL classification:
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2010-09-03 (Utility Models and Prospect Theory)
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