Library Header Image
LSE Research Online LSE Library Services

Performance of covered calls

Board, John, Sutcliffe, C. and Patrinos, E. (2000) Performance of covered calls. European Journal of Finance, 6 (1). pp. 1-17. ISSN 1351-847X

Full text not available from this repository.


Writing call options against long positions in the underlying equities is the most popular options strategy. Since the variance is an inadequate measure of risk for options strategies, this paper uses a range of dominance criteria and four utility functions to compare the performance of partly and fully covered call strategies with that of the underlying equity portfolio. It is found that the dominance criteria are ineffective in choosing between strategies. However, all four utility functions (representing different combinations of absolute and relative risk aversion) find that the covered call strategy is preferable for the data period studied, supporting the widespread use of this strategy.

Item Type: Article
Official URL:
Additional Information: © 2000 Taylor & Francis Ltd
Library of Congress subject classification: H Social Sciences > HJ Public Finance
Sets: Departments > Finance
Date Deposited: 17 Feb 2010 12:29

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only