Option prices vary with not only the underlying asset price, but also volatilities and higher
moments. In this paper, we use a portfolio of options to seclude the value change of the …

The joint distribution that describes the return generating process here is modeled to
distinguish between two aspects of portfolio risk by breaking down the variance of the portfolio …

Five US exchanges compete to provide quotes and attract order flows on common set of
stock options: the American Stock Exchange, the Chicago Board of Options Exchange, the …

… Essentially, fl is the opportunity cost of the suboptimal portfolio, ll, This definition of Q is
given in Simaan (199320 in a different context and under a different name. it was called the …

Idiosyncratic security risks are modelled as following a joint spherical distribution characterized
by a mean vector and a generalized covariance matrix. Skewness is generated by a …

An analytical framework is set up to evaluate the foregone opportunity cost of mean-variance
investment strategies. A parametric structure of the joint distribution of security returns, for …

In this paper, we build estimation error in mean returns into the mean-variance (MV)
portfolio theory under the assumption that returns on individual assets follow a joint normal …

… Following Simaan, 1993, Simaan, 1997 we derive the premium on an invested dollar that
the investor is willing to pay to buy the full information of the mean vector. We show that such a …

Mean–variance portfolio choice is often criticized as sub-optimal in the more general expected
utility framework. It is argued that the expected utility framework takes into consideration …

Naive asset allocation and other ad-hoc techniques are commonly practiced by fund
managers in the industry. Such strategies, however, are deemed mean-variance (MV) sub-optimal …