Hostname: page-component-7b7567c8c-7pwfn Total loading time: 0 Render date: 2026-11-15T06:04:43.227Z Has data issue: false hasContentIssue false
  • English
  • Français

Measuring Portfolio Risk in Options

Published online by Cambridge University Press:  06 April 2009

R. Stephen Sears and
Gary L. Trennepohl
Get accessRights & Permissions [Opens in a new window]

Extract

Little attention has been given to the behavior of option portfolio risk across different portfolio sizes, perhaps because many individuals view unhedged long option positions as too risky for rational investor consideration. It appears possible, however, to combine long option positions with less risky assets to produce portfolios with favorable risk-return characteristics [10].

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 17 , Issue 3 , September 1982, pp. 391 - 409
Copyright
Copyright © School of Business Administration, University of Washington 1982

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

[1]Black, F. “Fact and Fantasy in the Use of Options.” Financial Analysts Journal (07–08 1975), pp. 36–41, 61–72.CrossRefGoogle Scholar
[2]Black, F., and Scholes, M.. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy (05–06 1973), pp. 637–654.CrossRefGoogle Scholar
[3]Elton, E., and Gruber, M.. “Risk Reduction and Portfolio Size: An Analytical Solution.” Journal of Business (10 1977), pp. 415–437.CrossRefGoogle Scholar
[4]Evans, J., and Archer, S.. “Diversification and the Reduction of Dispersion: An Empirical Analysis.” Journal of Finance (12 1968), pp. 761–768.Google Scholar
[5]Fielitz, B. “Indirect versus Direct Diversification.” Financial Management, Vol. 3 (Winter 1974), pp. 54–62.CrossRefGoogle Scholar
[6]Galai, D. “A Proposal for Indexes for Traded Call Options.” Journal of Finance (12 1979), pp. 1157–1172.CrossRefGoogle Scholar
[7]Galai, D., and Masulis, R.. “The Option Pricing Model and the Risk Factor of Stock.” Journal of Financial Economics (01–03 1976), pp. 53–81.CrossRefGoogle Scholar
[8]MacBeth, J., and Merville, L.. “An Empirical Examination of the Black-Scholes Call Option Pricing Model.” Journal of Finance (12 1979), pp. 1173–1186.Google Scholar
[9]McEnally, R., and Boardman, C.. “Aspects of Corporate Bond Portfolio Diversification.” Journal of Financial Research (Spring 1979), pp. 27–36.CrossRefGoogle Scholar
[10]Merton, R.; Scholes, M.; and Gladstein, M.. “The Returns and Risk of Alternative Call Option Portfolio Investment Strategies.” Journal of Business (04 1978), pp. 183–242.CrossRefGoogle Scholar
[11]Reback, R. “Risk and Return on CBOE and AMEX Option Trading.” Financial Analysts Journal (06–08 1975), PP 42–52.CrossRefGoogle Scholar
[12]Sharpe, W. “A Simplified Model for Portfolio Analysis.” Management Science (01 1963), pp. 277–293.CrossRefGoogle Scholar