NBER WORKING PAPER SERIES
ARE OPTIONS ON INDEX FUTURES PROFITABLE FOR RISK AVERSE INVESTORS?
George M. Constantinides
Jens Carsten Jackwerth
Working Paper 16302
NATIONAL BUREAU OF ECONOMIC RESEARCH
1050 Massachusetts Avenue
Cambridge, MA 02138
We thank Oleg Bondarenko, Wolfgang Buehler, Jim Hodder, Robert Merton, Ingmar Nolte, Myron
Scholes, Sorin Sorescu, Suresh Sundaresan, Michael Wolf, Campbell Harvey (the editor), the anonymous
associate editor and referees, participants at the Second Mont Tremblant Risk Management conference,
the ESSFM Gerzensee 2008 conference, the 2008 Conference on Financial Innovation at Vanderbilt
University, the 2008 International Conference on Price, Liquidity, and Credit Risks at Konstanz University,
seminars at Mannheim University, Tel Aviv University, the University of Cyprus, and Zurich University,
and especially Russell Davidson for insightful comments and constructive criticism.
We remain responsible
for errors and omissions.
Constantinides acknowledges financial support from the Center for Research
in Security Prices, University of Chicago.
Czerwonko and Perrakis acknowledge financial support
from the Social Sciences and Humanities Research Council of Canada. The views expressed herein
are those of the authors and do not necessarily reflect the views of the National Bureau of Economic
© 2010 by George M. Constantinides, Michal Czerwonko, Jens Carsten Jackwerth, and Stylianos Perrakis.
All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit
permission provided that full credit, including © notice, is given to the source.