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- W1967701885 abstract "Initially an investor has the choice of two risky assets, writing a European put option or buying the underlying share. Under broad conditions a risk averse investor will be subjectively better off writing the put. When homogeneous expectations are invoked, an upper bound for the put premium is obtained. A numerical example using the lognormal density function illustrates the broad conditions for risk-averters subjectively preferring the put writing strategy. Additional conditions permit this preference for writing puts to be extended to the portfolio context. Transactions costs only reinforce this preference in the one-period horizon considered." @default.
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- W1967701885 date "1985-08-01" @default.
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- W1967701885 title "Subjective Stochastic Dominance, Put Writing, and Stock Purchases with Extensions to Option Pricing and Portfolio Composition" @default.
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- W1967701885 doi "https://doi.org/10.1287/mnsc.31.8.919" @default.
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