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題名:The Usefulness of Options in Tailoring the Return/Risk Characteristics of the Underlying Asset
書刊名:期貨與選擇權學刊
作者:許溪南洪麗琴闕河士 引用關係
作者(外文):Hsu, HsinanHung, Li-chinChueh, Horace
出版日期:2017
卷期:10:2
頁次:頁89-151
主題關鍵詞:選擇權投資組合報酬機率密度函數報酬/風險特徵掩護性買權策略保護性賣權策略Portfolio with optionsReturn probability density functionPDFReturn/risk characteristicsCovered call strategiesProtective put strategies
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:10
  • 點閱點閱:14
期刊論文
1.Bookstaber, R.、Clarke, R.(1983)。An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions。Management Science,29(4),419-429。  new window
2.Ferguson, R.(1993)。Some Formulas for Evaluating Two Popular Option Strategies。Financial Analysts Journal,49(5),71-76。  new window
3.Merton, R. C.、Scholes, M. S.、Gladstein, M. L.(1982)。The Returns and Risk of Alternative Put Option Portfolio Investment Strategies。Journal of Business,55(1),1-55。  new window
4.Merton, R. C.、Scholes, M. S.、Gladstein, M. L.(1978)。The returns and risk of alternative call option portfolio investment strategies。Journal of Business,51(2),183-242。  new window
5.Arditti, F. D.(1967)。Risk and the required return on equity。Journal of Finance,22(1),19-36。  new window
6.Aparicio, F. M.、Estrada, J.(2001)。Empirical Distributions of Stock Returns: European Securities Markets: 1990-95。European Journal of Finance,7(1),1-21。  new window
7.Affleck-Graves, J.、McDonald, J. B.(1989)。Nonnormalities and Tests of Asset Pricing Theories。Journal of Finance,44(4),889-908。  new window
8.Bookstaber, R. M.、McDonald, J. B.(1987)。A General Distribution for Describing Security Price Returns。Journal of Business,60(3),401-424。  new window
9.Coval, J. D.、Shumway, T.(2001)。Expected Option Returns。Journal of Finance,56(3),983-1009。  new window
10.Bertrand, Philippe、Prigent, Jean-Luc(2005)。Portfolio insurance strategies: OBPI versus CPPI。Finance,26(1),5-32。  new window
11.Prakash, A. J.、Chang, C. H.、Pactwa, T. E.(2003)。Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets。Journal of Banking & Finance,27(7),1375-1390。  new window
12.Aulerich, J. R.、Molloy, J.(2004)。Long-Term Capital Gains Tax Strategies: Correlated Protective Put Strategy。Journal of Business & Economics Research,2(8),35-49。  new window
13.Board, J.、Sutcliffe, C.、Patrinos, E.(2000)。The Performance of Covered Calls。European Journal of Finance,6(1),1-17。  new window
14.Brown, K. C.、Lummer, S. L.(1984)。The Cash Management Implications of a Hedged Dividend Capture Strategy。Financial Management,13(4),7-17。  new window
15.Brown, K. C.、Lummer, S. L.(1986)。A Reexamination of the Covered Call Option Strategy for Corporate Cash Management。Financial Management,15(2),13-17。  new window
16.Canela, M. A.、Collazo, E. P.(2007)。Portfolio Selection with Skewness in Emerging Market Industries。Emerging Markets Review,8(3),230-250。  new window
17.Harvey, C. R.、Liechty, J. C.、Liechty, M. W.、Müller, P.(2010)。Portfolio Selection with Higher Moments。Quantitative Finance,10(5),469-485。  new window
18.許溪南(20131100)。The Return Distribution, Properties, and Optimal Strike Price for the Portfolio Insurance Strategy。期貨與選擇權學刊,6(2),73-103。new window  new window
19.Parasuraman, N. R.、Ramudu, P. J.(2013)。Portfolio Protection in the Short Run-Protective Puts vs. Short Futures: Exploratory Evidence from the Indian Stock Markets。Contemporary Research in Management,2,187-203。  new window
20.Yates, J. W.、Kopprasch, R. W.(1980)。Writing Covered Call Options: Profits and Risks。Journal of Portfolio Management,7(1),74-79。  new window
21.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
22.許溪南(20130500)。On the Option Expected Return and Risk Characteristics。期貨與選擇權學刊,6(1),59-90。new window  延伸查詢new window
23.Fama, Eugene F.(1965)。The Behavior of Stock-Market Prices。Journal of Business,38(1),34-105。  new window
24.Richardson, M.、Smith, T.(1993)。A Test for Multivariate Normality in Stock Returns。Journal of Business,66(2),295-321。  new window
25.Fang, Hsing、Lai, Tsong-Yue(1997)。Co-Kurtosis and Capital Asset Pricing。The Financial Review,32(2),293-307。  new window
圖書
1.Fama, E. F.(1976)。Foundations of Finance。New York:Basic Books。  new window
圖書論文
1.Bookstaber, R.、Clarke, R.(1997)。Options can alter portfolio return distributions。Streetwise: The Best of the Journal of Portfolio Management。New Jersey:Princeton University Press。  new window
2.Brenner, M.(1990)。Stock Index Options。Financial Options: From Theory to Practice。NY:Irwin Professional Publishing。  new window
 
 
 
 
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