differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return …S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

wichtiges Problem sowohl im passiven Portfoliomanagement als auch bei der Ausführung von Index-Arbitrage dar. Es werden …In this study we compare different methods to track stock indices. Index tracking constitutes an important problem for … both passive portfolio management and index arbitrage. We derive different criteria, based on expected returns and …