Do investors gain by selling the tails of return distributions?
研究投资者能否通过卖出收益分布的尾部获利，开发了考虑模糊厌恶和风险厌恶的基金排名方法，基于标普500指数期权、国债期货期权和对冲基金数据发现答案是否定的，并用其他指数期权数据佐证。
Abstract This paper examines whether investors gain by selling the tails of return distributions. To address this, we develop a way of ranking and scoring actively managed funds and investment strategies, which accounts for ambiguity aversion and risk aversion in decision‐making. Using data relating to options on the S&P 500 equity index and Treasury bond futures and to hedge funds, we provide evidence that suggests a negative answer to this question. We reinforce this evidence with data from options on the STOXX 50, FTSE, and Nikkei equity indices.