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.Abstract
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: | http://www.tandf.co.uk/journals/titles/1351847X.as... |
| Additional Information: | © 2000 Taylor & Francis Ltd |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HJ Public Finance |
| Date Deposited: | 17 Feb 2010 12:29 |
| Last Modified: | 11 Dec 2024 22:19 |
| URI: | http://eprints.lse.ac.uk/id/eprint/7513 |
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