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The performance of covered calls

Board, J., Sutcliffe, C. and Patrinos, E. (2000) The performance of covered calls European Journal of Finance, 6, (1), pp. 1-17.

Record type: Article


Writing call options against long positions in the underlying equities is the most popular options strategy. Since the variance is an inadequate measure of risk for options strategies, this paper uses a range of dominance criteria and four utility functions to compare the performance of partly and fully covered call strategies with that of the underlying equity portfolio. It is found that the dominance criteria are ineffective in choosing between strategies. However, all four utility functions (representing different combinations of absolute and relative risk aversion) find that the covered call strategy is preferable for the data period studied, supporting the widespread use of this strategy.

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Published date: 2000
Keywords: call options, covered calls, buy-writes, overwrites


Local EPrints ID: 35952
ISSN: 1351-847X
PURE UUID: 1494f164-6101-4c00-bb4e-d2baea5d26bc

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Date deposited: 19 Jul 2006
Last modified: 30 Sep 2017 07:43

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Author: J. Board
Author: C. Sutcliffe
Author: E. Patrinos

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