This paper assesses the investment value of the CBOE S&P 500 BuyWrite (BXM) Index and
its covered call investment strategy to an investor from the total portfolio perspective. Whaley …

Purpose The purpose of this paper is to examine whether superior risk-adjusted returns can
be generated using monthly covered call option strategies in large capitalized Australian …

We develop an options trading strategy that takes advantage of the fact that options' implied
volatilities tend to be higher than their realized volatilities. Therefore, we dynamically adjust …

In a mean-variance framework, the covered call investment strategy has been seen as an
inefficient method of allocating wealth. Covered calls reduce the riskiness of the portfolio …

This paper examines the historical risk-adjusted returns of two hedging strategies designed
to minimize downside market risk: Protective-puts and covered-calls. Using US market data …

This paper examines whether superior nominal and risk-adjusted returns can be generated
using condor option spread strategies on a large capitalized Australian stock. Monthly …

The paper documents some theoretical results about the attractiveness of European style
call and put options for long horizon CRRA investors. Investors are assumed to derive utility …

During the last few years, a strong growth of retail derivative markets has been observed in a
number of financial retail markets around the world. Using a unique data set, we confront in …

The authors aim to improve the CMBO strategy, a covered-call strategy based on the
Chicago Board of Exchange Covered Combo (CMBO) Index. They modify the major issues …

This paper examines the benefits and costs of investing in firm specific options as an
additional investment in a portfolio. We examine twelve option strategies and find that there …