This report provides an overview of the utility of single stock and custom basket options in fund management. It is shown that managers of active equity funds can limit possible negative return contributions of their over - and underweight positions via single stock options and thus help to...

Traditional risk measures such as standard deviation and CVaR are properties of the distribution of returns over a specified investment horizon. Because such fixed holding period analysis is relatively easy, and because derivative contracts are fixed-term products, the analysis of derivative...

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...