Essays on Options and Portfolio Management

Aşty Al-Jaaf

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

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.

Date: 2024-07-26
Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/146861/
References: Add references at CitEc
Citations:

Downloads: (external link)
https://tuprints.ulb.tu-darmstadt.de/27791

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dar:wpaper:146861

Access Statistics for this paper

More papers in Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL) Contact information at EDIRC.
Bibliographic data for series maintained by Dekanatssekretariat ().