Do investors gain by selling the tails of return distributions?

IF 1.6 3区经济学 Q3 BUSINESS, FINANCE

Mathematical Finance Pub Date : 2024-10-17 DOI:10.1111/mafi.12447

Gurdip Bakshi, John Crosby, Xiaohui Gao

引用次数: 0

Abstract

This paper examines whether investors gain by selling the tails of return distributions. To address this, we develop a way of ranking and scoring actively managed funds and investment strategies, which accounts for ambiguity aversion and risk aversion in decision-making. Using data relating to options on the S&P 500 equity index and Treasury bond futures and to hedge funds, we provide evidence that suggests a negative answer to this question. We reinforce this evidence with data from options on the STOXX 50, FTSE, and Nikkei equity indices.

查看原文本刊更多论文

本文探讨了投资者是否会通过卖出收益分布的尾部而获利。为了解决这个问题，我们开发了一种对主动管理基金和投资策略进行排序和评分的方法，其中考虑到了决策中的模糊厌恶和风险厌恶。利用 S&P 500 股票指数和国债期货期权以及对冲基金的相关数据，我们提供的证据表明这个问题的答案是否定的。我们利用 STOXX 50、富时和日经股票指数期权的数据强化了这一证据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Mathematical Finance 数学-数学跨学科应用

CiteScore

4.10

自引率

6.20%

发文量

审稿时长

>12 weeks

期刊介绍： Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.