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The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies


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  • Merton, Robert C
  • Scholes, Myron S
  • Gladstein, Mathew L


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Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 55 (1982)
Issue (Month): 1 (January)
Pages: 1-55

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Handle: RePEc:ucp:jnlbus:v:55:y:1982:i:1:p:1-55

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Cited by:
  1. Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  2. Robert C. Merton & Zvi Bodie & Alan Marcus, 1987. "Pension Plan Integration As Insurance Against Social Security Risk," NBER Chapters, in: Issues in Pension Economics, pages 147-172 National Bureau of Economic Research, Inc.
  3. Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt0499w44p, Anderson Graduate School of Management, UCLA.
  4. Baik, Bok & Kang, Hyoung-Goo & Kim, Young Jun, 2013. "Volatility arbitrage around earnings announcements: Evidence from the Korean equity linked warrants market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 23(C), pages 109-130.
  5. Christophe Faugere & Julian Van Erlach, 2003. "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance, EconWPA 0311004, EconWPA.
  6. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 69(3), pages 401-430, September.
  7. Lucas, André & Dert, Cees L., 1998. "On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics 0057, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  8. Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers 1204.3452,
  9. J. Board & C. Sutcliffe & E. Patrinos, 2000. "The performance of covered calls," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(1), pages 1-17.


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