Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence

A-Tier

Journal: Journal of Finance

Year: 2011

Volume: 66

Issue: 4

Pages: 1407-1437

Authors (4)

GEORGE M. CONSTANTINIDES (University of Chicago) MICHAL CZERWONKO (not in RePEc) JENS CARSTEN JACKWERTH (not in RePEc) STYLIANOS PERRAKIS (Concordia University)

Score contribution per author:

1.009 = (α=2.02 / 4 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count