Various risk estimation methods have been proposed in response to evidence that risk is changing. We investigate the effect of alternative risk-estimation methods in the context of asset-allocation decisions that seek to minimize portfolio risk. The risk measures considered include the...

Many portfolio managers use options in their investment strategy, yet the issue of performance measurement for such portfolios remains unresolved. This study examines the nature of risk for option affected portfolios and identifies appropriate risk measures for them. We find that the main issue...