Subjective Stochastic Dominance, Put Writing, and Stock Purchases with Extensions to Option Pricing and Portfolio Composition
研究投资者在卖出看跌期权和购买股票之间的选择，发现风险厌恶者在广泛条件下主观上更偏好卖出看跌期权，并给出了看跌期权溢价的上界，同时将结论扩展到投资组合情境。
Initially an investor has the choice of two risky assets, writing a European put option or buying the underlying share. Under broad conditions a risk averse investor will be subjectively better off writing the put. When homogeneous expectations are invoked, an upper bound for the put premium is obtained. A numerical example using the lognormal density function illustrates the broad conditions for risk-averters subjectively preferring the put writing strategy. Additional conditions permit this preference for writing puts to be extended to the portfolio context. Transactions costs only reinforce this preference in the one-period horizon considered.