The DOI matches its Crossref record.
Problems in Evaluating the Performance of Portfolios with Options
Abstract
(1985). Problems in Evaluating the Performance of Portfolios with Options. Financial Analysts Journal: Vol. 41, No. 1, pp. 48-62.
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Mean-variance analysis is not an appropriate framework for evaluating the performance of portfolios with option strategies because the returns are not normally distributed.
“We emphasize that the use of mean-variance analysis is not an appropriate framework for evaluating the performance of the portfolios with option strategies as the returns are not normally distributed (see Bookstaber & Clarke (1985) and Leggio & Lien (2008)).”
From Methods and Analysis of Collar Strategies (2021) · cites this paper as Bookstaber & Clarke (1985)
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Methods and Analysis of Collar Strategies
El-Hassan, N., Hall, A., & Tulunay, I. (2021) · Journal of Applied Business and Economics · doi:10.33423/jabe.v23i8.4882
Metadata
- Authors
- Bookstaber, R., & Clarke, R.
- ORCID
- Clarke, Roger
- Venue
- Financial Analysts Journal
- Publisher
- Informa UK Limited
- Published
- 1985-01
- Volume
- 41
- Issue
- 1
- Pages
- 48-62
- ISSN
- 0015-198X (ISSN-L)
- 1938-3312
- OpenAlex
- W1963368884
- Cited by
- 74
- References
- 0
- Citations by year
- 2026: 1 · 2025: 1 · 2022: 2 · 2021: 1 · 2020: 2 · 2019: 2 · 2017: 3 · 2015: 1 · 2014: 3 · 2013: 1 · 2012: 2
- FWCI
- 3.41
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Financial Analysts Journal (publishedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
- Social Sciences › Decision Sciences › Management Science and Operations Research › Risk and Portfolio Optimization
- Social Sciences › Economics, Econometrics and Finance › Finance › Stochastic processes and financial applications
- Keywords
- portfolio performance evaluation, options
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