OPTIONS PIONEER FINALLY HAS HIS DAY

PENSIONS AND INVESTMENTS
May 14, 2008

Whaley's trail-blazing work from the '90's adopted today amid surge in market volatility.

 

Sometimes it takes years for trail-blazing academic research to have its full effect on portfolio strategies.

 

Such is the case with ROBERT WHALEY, professor of management at Vanderbilt University's Owen Graduate School of Management, Nashville, Tenn., who has written pioneering studies starting in the 1990s on how to protect portfolios against surging volatility.

The paper was written with HANS STOLL — who serves as co-director of Vanderbilt's Financial Markets Research Center along with Mr. Whaley — and Veronika Krepely Pool, assistant professor in finance at Indiana University, Bloomington, Ind.