Description
REFERENCES
Baker, M., B. Bradley, and J. Wurgler. “Benchmarks as Limits
to Arbitrage: Understanding the Low-Volatility Anomaly.”
Financial Analysts Journal, Vol.
67, No. 1 ( January/February 2011), pp. 40-54. Barberis, N.C.
“Thirty Years of Prospect Theory in Economics: A Review and Assessment.” Journal of Economic Perspectives, Vol. 27, No.1 (Winter 2013), pp. 173-196. Board, J., C.
Sutcliffe, and E. Patrinos. “The Performance of Covered Calls.” European Journal of Finance, Vol.
6, No. 1 (March 2000), pp. 1-17. Kuo, L., and F.
Li. “An Investor’s Low Volatility Strategy.” The Journal of Index Investing, Vol. 3, No.
4 (Spring 2013), pp. 8-22. Leland, H.E. “Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World.” Financial Analysts Journal, Vol.
55, No. 1 ( January/February 1999), pp. 27-36. Li, F.
“Avoiding Pricey Low Volatility Investing.” Simply Stated, Research Affiliates, 2013, https://www.researchaffiliates.com/Our%20Ideas/Insights/Fundamentals/Pages/ S_2013_07_Avoiding-Pricey-Low-Volatility-Investing. aspx. Chow, T., J.C. Hsu, L. Kuo, and F.
Li. “A Study of Low-Volatility Portfolio Construction Methods.” The Journal of Portfolio Management, Vol. 40, No.
4 (Summer 2014), pp. 89-105. Merton, R.C., M.S. Scholes, and M.L.
Gladstein. “The Returns and Risk of Alternative Call Option Portfolio Investment Strategies.” Journal of Business, Vol. 51, No.
2 (April 1978), pp. 183-242. Conrad, J., R.F. Dittmar, and E.
Ghysels. “Ex Ante Skewness and Expected Stock Returns.” Journal of Finance, Vol. 68, No.
1 (February 2013), pp. 85-124. Stutzer, M.J. “A Portfolio Performance Index.” Financial Analysts Journal, Vol.
5, No. 3 (May/June 2000), pp. 52-61. Feldman, B.E., and D.
Roy. “Passive Options-Based Investment Strategies: The Case of the CBOE S&P Buy Write Index.” The Journal of Investing, Vol. 14, No.
2 (Summer 2005), pp. 66-83. Frazzini, A., and L.H. Pedersen.
“Betting Against Beta.” Journal of Financial Economics, Vol. 111, No. 1 ( January 2014), pp.
1-25. Grube, R.C., D.B. Panton, and J.M. Terrell.
“Risks and Rewards in Covered Call Positions.” The Journal of Portfolio Management, Vol. 5, No. 2 (Winter 1979), pp.
64-68. Trennepohl, G.L., and W.P. Dukes. “An Empirical Test of Option Writing and Buying Strategies Utilizing In-the-Money and Out-of-the-Money Contracts.” Journal of Business Finance & Accounting, Vol.
8, No. 2 ( June 1981), pp. 185-202. Whaley, R.
“Risk and Return of the CBOE Buy Write Monthly Index.” The Journal of Derivatives, Vol. 10, No. 2 (Winter 2002), pp.
35-42. To order reprints of this article, please contact Dewey Palmieri at dpalmieri@ iijournals.com or 212-224-3675. Kahneman, D., and A. Tversky. “Prospect Theory: An Analysis of Decision under Risk.” Econometrica, Vol.
47, No. 2 (March 1979), pp. 263-292. OptiOn-Writing StrategieS in a L OW-VOLatiLity FrameWOrk FaLL 2015 .
67, No. 1 ( January/February 2011), pp. 40-54. Barberis, N.C.
“Thirty Years of Prospect Theory in Economics: A Review and Assessment.” Journal of Economic Perspectives, Vol. 27, No.1 (Winter 2013), pp. 173-196. Board, J., C.
Sutcliffe, and E. Patrinos. “The Performance of Covered Calls.” European Journal of Finance, Vol.
6, No. 1 (March 2000), pp. 1-17. Kuo, L., and F.
Li. “An Investor’s Low Volatility Strategy.” The Journal of Index Investing, Vol. 3, No.
4 (Spring 2013), pp. 8-22. Leland, H.E. “Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World.” Financial Analysts Journal, Vol.
55, No. 1 ( January/February 1999), pp. 27-36. Li, F.
“Avoiding Pricey Low Volatility Investing.” Simply Stated, Research Affiliates, 2013, https://www.researchaffiliates.com/Our%20Ideas/Insights/Fundamentals/Pages/ S_2013_07_Avoiding-Pricey-Low-Volatility-Investing. aspx. Chow, T., J.C. Hsu, L. Kuo, and F.
Li. “A Study of Low-Volatility Portfolio Construction Methods.” The Journal of Portfolio Management, Vol. 40, No.
4 (Summer 2014), pp. 89-105. Merton, R.C., M.S. Scholes, and M.L.
Gladstein. “The Returns and Risk of Alternative Call Option Portfolio Investment Strategies.” Journal of Business, Vol. 51, No.
2 (April 1978), pp. 183-242. Conrad, J., R.F. Dittmar, and E.
Ghysels. “Ex Ante Skewness and Expected Stock Returns.” Journal of Finance, Vol. 68, No.
1 (February 2013), pp. 85-124. Stutzer, M.J. “A Portfolio Performance Index.” Financial Analysts Journal, Vol.
5, No. 3 (May/June 2000), pp. 52-61. Feldman, B.E., and D.
Roy. “Passive Options-Based Investment Strategies: The Case of the CBOE S&P Buy Write Index.” The Journal of Investing, Vol. 14, No.
2 (Summer 2005), pp. 66-83. Frazzini, A., and L.H. Pedersen.
“Betting Against Beta.” Journal of Financial Economics, Vol. 111, No. 1 ( January 2014), pp.
1-25. Grube, R.C., D.B. Panton, and J.M. Terrell.
“Risks and Rewards in Covered Call Positions.” The Journal of Portfolio Management, Vol. 5, No. 2 (Winter 1979), pp.
64-68. Trennepohl, G.L., and W.P. Dukes. “An Empirical Test of Option Writing and Buying Strategies Utilizing In-the-Money and Out-of-the-Money Contracts.” Journal of Business Finance & Accounting, Vol.
8, No. 2 ( June 1981), pp. 185-202. Whaley, R.
“Risk and Return of the CBOE Buy Write Monthly Index.” The Journal of Derivatives, Vol. 10, No. 2 (Winter 2002), pp.
35-42. To order reprints of this article, please contact Dewey Palmieri at dpalmieri@ iijournals.com or 212-224-3675. Kahneman, D., and A. Tversky. “Prospect Theory: An Analysis of Decision under Risk.” Econometrica, Vol.
47, No. 2 (March 1979), pp. 263-292. OptiOn-Writing StrategieS in a L OW-VOLatiLity FrameWOrk FaLL 2015 .
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