The document provides an analysis of the cost of protection on equity portfolios relative to expected returns. It includes tables summarizing the pricing of out-of-the-money put options on the S&P 500 and the Cash Equity Risk Premia Portfolio TV5, highlighting the cost-efficiency of purchasing protection through diversification strategies.
documents/vol00010-efta01364400-pdf.pdf
{"title":"Cash Equity Risk Premia Portfolio TV5 Option Pricing","document_date":"2016-12","document_type":"tabular","document_subtype":"financial analysis","reference_numbers":["DB-SDNY-0054933","SDNY_GM_00201117","EFTA01364400"]}