Analytische Evaluation des Risiko-Chance-Profils kombinierter Aktien- und Optionsstrategien

Raimond Maurer () and Michael Adam
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Michael Adam: Sonderforschungsbereich 504, Postal: L 13, 15, D-68131 Mannheim

No 97-44, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim

Abstract: In the present paper we examine a concept which we claim to be more suitable than traditional ones for measuring chance and risk of a stock portfolio when options are included. After the basic shortfall risk measures have been derived systematically, the connections between these measures are indicated. We subsequently use these measures to evaluate chance and risk of a generalized collar strategy. Closed formulas are given for the general case as well as for a logarithmic normally distributed stock price.

Date: 1997-12-19
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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