The Role of Options in Portfolio Management - Some Key Issues

Authors

Peter H. Ritchken
Gregory B. Getts
Harvey M. Salkin

Document Type

Report

Publication Date

4-1-1984

Abstract

A review of stock and index option pricing models, their possible misuses and limitations, and their role in portfolio management under various assumptions. A discussion of how these models may be used in conjunction with the Capital Asset Pricing Model for measuring risk and reward of optioned portfolios is also included.

Keywords

Operations research, Portfolio management, Capital assets pricing model, Investment analysis, Options (Finance), Risk management--Mathematical models, Hedging (Finance), Stock price indexes

Publication Title

Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University

Issue

Technical memorandum no. 582

Rights

This work is in the public domain and may be freely downloaded for personal or academic use

Recommended Citation

Ritchken, Peter H.; Getts, Gregory B.; and Salkin, Harvey M., "The Role of Options in Portfolio Management - Some Key Issues" (1984). Research Reports from the Department of Operations. 489.
https://commons.case.edu/wsom-ops-reports/489