This is a summary of links featured on Quantocracy on Tuesday, 01/24/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck [Flirting with Models]We have published a new paper on the topic of rebalance timing luck in option strategies: The Hidden Cost in Costless Put-Spread Collars: Rebalance Timing Luck. Prior research and empirical investment results demonstrate that strategy performance can be highly sensitive to rebalance schedules, an effect called rebalance timing luck (RTL). In this paper we extend the empirical analysis to