A Portfolio Perspective on Option Pricing Anomalies

  title={A Portfolio Perspective on Option Pricing Anomalies},
  author={Pascal J. Maenhout},
We empirically study the economic benefits of giving investors access to index options in the context of the standard asset allocation problem. We analyze both expectedutility and non-expected-utility investors in order to understand who optimally buys and sells in option markets. We solve the portfolio problem with a flexible empirical methodology that does not rely on specific assumptions about the process of the underlying equity index. Using data on S&P 500 index options (1987-2001) we… CONTINUE READING