Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1998 erstellt
Description:
Many portfolio managers use options in their investment strategy, yet the issue of performance measurement for such portfolios remains unresolved. This study examines the nature of risk for option affected portfolios and identifies appropriate risk measures for them. We find that the main issue is not skewness (as is commonly supposed), but the fact that risk is changing. The implication is that option affected (and other) portfolios can be meaningfully examined in a mean-variance framework, provided that appropriate risk measures (identified in this study) are applied