TITLE

Measuring Portfolio Risk in Options

AUTHOR(S)
Sears, R. Stephen; Trennepohl, Gary L.
PUB. DATE
September 1982
SOURCE
Journal of Financial & Quantitative Analysis;Sep82, Vol. 17 Issue 3, p391
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The article discusses how the behavior of option portfolio risk differs with portfolio size. The authors conduct their empirical analysis with their model which was created based upon Sharpe's single index model and the Black and Scholes option pricing model to determine the relative levels of systematic risk present in option portfolios. The model considers transaction costs associated with options and hedging strategies, diversification of investments, and uncertainty in investing. The statistical analysis used a regression model and considered both variance and covariance.
ACCESSION #
5722259

 

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