Continuing the research of an earlier AFIR-Paper, we examine on the basis of a (partially) historical simulation approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure of shortfall risks we propose measures of excess returns...

Vorliegendes Arbeitspapier beschäftigt sich mit dem Einsatz von Optionen bei der Steuerung von Aktien- bzw. Aktienportefeuilles .

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...