منابع مشابه
Portfolio Policies with Stock Options
We study the partial equilibrium portfolio optimization problem for a myopic CRRA investor who can trade options on individual stocks. Applying the parametric portfolio approach of Brandt, Santa-Clara, and Valkanov (forthcoming) to derivatives we show that options characteristics (such as implied volatility and IV smile skew) convey information about the mispricing in the option portfolios. We ...
متن کاملExecutive Stock Options: Portfolio Effects
Since executives typically receive new grants of stock options (ESOs) each year, longerserving executives often have portfolios of ESOs with differing strikes and maturities. Valuation models for stand-alone ESO grants have shown that trading restrictions, which force executives to bear unhedgeable risk until the options are exercised, induce earlier exercise and hence a lower cost to sharehold...
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nowadays, the significant increase in the banks' non- performing loans is one of the main disturbances for authorities because of its bad effects on the macroeconomic index in our country such as increasing credit risk, liquidity risk and finally bankruptcy risk. social gap in welfare programs, deviation in monetary policies, etc. are the other bad results of this phenomenon. meanwhile, du...
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I introduce dynamic option trading and non-linear views into the classical portfolio selection problem. The optimal dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the meanvariance efficient portfolio is played by the “Greek-efficient” portfolio. This is the portfolio that has the optimal sensitivities to chosen risk factors. ...
متن کاملThe impact of the market portfolio on the valuation, incentives and optimality of executive stock options
This paper examines the effect on valuation and incentives of allowing executives receiving options to trade on the market portfolio. We propose a continuous time utility maximization model to value stock and option compensation from the executive’s perspective. The executive may invest non-option wealth in the market and riskless asset but not in the company stock itself, leaving them subject ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1101305