Tuesday, December 7, 2010

Congratulations to Hao (Jessie) Chen for Completing Her Master's Thesis at Marquette

Dr. David Krause, AIM program director stated, "A sincere congratulations to Jessie Chen for successfully defending he master's thesis: An Evaluation of the Covered Call Option Hedging Strategy for Individual Stock Positions: A Case of Portfolio Management." She will be receiving her Master of Science in Applied Economics degree with an emphasis in financial economcs. Jessie was my able graduate assistant during the 2009-2010 school year. I am very pleased for her, she has been an excellent graduate student and assistant."

Jessie graduated from Dalian University of Technology (DUT) with a Bachelor of Arts (Finance and Banking) in 2008. She worked as an intern with Minsheng Banking Corporation and as an administrative assistant at DalianXpat LTD in China before enrolling at Marquette University. This past summer Jessie interned at Diversey Inc. in Racince, Wisconsin. Presently she is an intern with Merrill Lynch in Milwaukee. She is beginning her job search and would like to stay in the U.S. following graduation.

Dr. George Kutner served as Jessie's thesis chairman and Drs. Farrokh Nourzad and David Krause were thesis committee members. Dr. Krause said, "Jessie studied the option buy-write strategy, also called "covered call writing" for six individual equity positions. A covered call is an investment strategy in which the investor owns the underlying instruments, such as shares of stock or other securities, and sells the call option based on the corresponding amount of these instruments to hedge the investment position. The covered call strategy is often expected to outperform a purely passive stock index strategy in bear markets and underperform the purely passive stock index in bull markets. "

He continued, "Her research expanded on previous work by evaluating six individual stock positions instead of the overall market as has been done in many previous studies. She found that an individual investor's return-risk profile would have been enhanced from the 2000-2007 period by writing covered calls on these six popularly held common stocks. She did a good job with her empirical work - including her econometric modeling. She used Black-Scholes to obtain the optimal hedge ratio in her covered call strategy and commanded a strong knowledge of all aspects of her research. It was a pleasure working with Jessie and I enjoyed her research. She will be very successful in her professional career."

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