Al-Jaaf, Aşty (2024)
Essays on Options and Portfolio Management.
Technische Universität Darmstadt
doi: 10.26083/tuprints-00027791
Ph.D. Thesis, Primary publication, Publisher's Version
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Item Type: | Ph.D. Thesis | ||||
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Type of entry: | Primary publication | ||||
Title: | Essays on Options and Portfolio Management | ||||
Language: | English | ||||
Referees: | Schiereck, Prof. Dr. Dirk ; Koziol, Prof. Dr. Christian | ||||
Date: | 26 July 2024 | ||||
Place of Publication: | Darmstadt | ||||
Collation: | vi, 39 Seiten | ||||
Date of oral examination: | 18 July 2024 | ||||
DOI: | 10.26083/tuprints-00027791 | ||||
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. |
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Status: | Publisher's Version | ||||
URN: | urn:nbn:de:tuda-tuprints-277912 | ||||
Classification DDC: | 300 Social sciences > 330 Economics | ||||
Divisions: | 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance | ||||
Date Deposited: | 26 Jul 2024 12:15 | ||||
Last Modified: | 30 Jul 2024 13:16 | ||||
URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/27791 | ||||
PPN: | 520200101 | ||||
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