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.
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Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number
97-44.
Length: 29 pages Date of creation: 19 Dec 1997 Date of revision: Handle: RePEc:xrs:sfbmaa:97-44
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