Jivendra K. Kale
Jivendra Kale is the Chevron Professor of Finance at Saint Mary’s College of California, and President of Financiometrics Inc. He has a Ph.D. in finance from the University of California, Berkeley, and has worked as a senior consultant for BARRA and Gifford Fong Associates. His research interests include large-scale portfolio optimization for stock and bond portfolios, power-log optimization for assets with normal and non-normal return distributions, equity risk models, stock market architecture, and alternative designs for social security systems.
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Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…