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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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  • Merton, Robert C & Scholes, Myron S & Gladstein, Mathew L, 1982. "The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies," The Journal of Business, University of Chicago Press, vol. 55(1), pages 1-55, January.
  • Handle: RePEc:ucp:jnlbus:v:55:y:1982:i:1:p:1-55
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    Cited by:

    1. Santa-Clara, Pedro & Saretto, Alessio, 2009. "Option strategies: Good deals and margin calls," Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
    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. Gary L. Trennepohl & James R. Booth & Hassan Tehranian, 1988. "An Empirical Analysis Of Insured Portfolio Strategies Using Listed Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 1-12, March.
    4. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
    5. J. Board & C. Sutcliffe & E. Patrinos, 2000. "The performance of covered calls," The European Journal of Finance, Taylor & Francis Journals, vol. 6(1), pages 1-17.
    6. 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, vol. 23(C), pages 109-130.
    7. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    8. Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers 1204.3452, arXiv.org.
    9. Christophe Faugere & Julian Van Erlach, 2003. "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance 0311004, EconWPA.

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