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1-3 of 3
Keywords: Portfolio
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2019) 27 (2): 211–252.
Published: 31 May 2019
... Convertible ELS.’ First, equity linked securities contribute to improving the performance of the optimal portfolio for most investors, except for some investors who have extremely low degrees of risk aversion. Second, these economic benefits of equity linked securities are consistently observed regardless...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2018) 26 (2): 183–216.
Published: 31 May 2018
... a portfolio perspective, some SBIs can be helpful to improve the portfolio performance of CRRA (Constant Relative Risk Aversion) investors. These results imply that passive investment strategies with KOSPI200 index options can provide additional benefits that both equities and bonds do not provide. Third...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2015) 23 (1): 29–40.
Published: 28 February 2015
... of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode DEA KOSPI Portfolio Cross-Sectional Efficiency ...
