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Keywords: OTM Put
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2016) 24 (4): 619–646.
Published: 30 November 2016
...Byung Jin Kang This paper investigates the effect of investment horizon on the optimal portfolio choice of investors, who can access to index options market. This is to reconcile the empirical anomaly of Driessen and Maenhout (2007), which suggested that it is always optimal to short OTM puts...
