Proceedings, Volume 22

abnormal return active holdings active management adjusted aggregate portfolio alpha AMERICAN PUT OPTIONS analysis appraisal premia assets autocorrelations average balance Black-Scholes call option capital markets coefficient coefficient of determination common stocks COMPUTER corporate correlation covariance dependence-adjusted diversified dividends economic employee equation equity portfolio ERISA estimates excess returns exercise price expected inflation rate factors Figure formula funds hedge income increase interest rate investment investors lognormal distribution market forecasting market portfolio market return matrix multinational Myron Scholes negative nominal returns optimal PBGC pension claim pension put period portfolio beta premium present value profit proportion proxy put option rate of return regression relative residual risk riskless risky Sharpe Ratio sponsor standard deviation standard errors stock price strategy Table tax rate Theorem tion trade transaction costs treasury bill turnover unexpected unsystematic return unsystematic risk variance rate volatility zero