MEASURING PORTFOLIO RISK IN OPTIONS

被引：2

作者：

SEARS, RS

TRENNEPOHL, GL

机构：

[1] UNIV ILLINOIS, CHAMPAIGN, IL 61820 USA

[2] UNIV MISSOURI, COLUMBIA, MO 65201 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1982年 / 17卷 / 03期

关键词：

D O I：

10.2307/2330836

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：391 / 409

页数：19

共 13 条

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BLACK, F ;

SCHOLES, M .

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[2]

Black F., 1975, FINANCIAL ANAL J, V31, P61

[3]

Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36

[4] RISK REDUCTION AND PORTFOLIO SIZE - ANALYTICAL SOLUTION [J].

ELTON, EJ ;

GRUBER, MJ .

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[5] DIVERSIFICATION AND REDUCTION OF DISPERSION - EMPIRICAL ANALYSIS [J].

EVANS, JL ;

ARCHER, SH .

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[6] INDIRECT VERSUS DIRECT DIVERSIFICATION [J].

FIELITZ, BD .

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[7] OPTION PRICING MODEL AND RISK FACTOR OF STOCK [J].

GALAI, D ;

MASULIS, RW .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :53-81

[8]

GALAI D, 1979, J FINANCE DEC, P1157

[9] EMPIRICAL-EXAMINATION OF THE BLACK-SCHOLES CALL OPTION PRICING MODEL [J].

MACBETH, JD ;

MERVILLE, LJ .

JOURNAL OF FINANCE, 1979, 34 (05) :1173-1186

[10]

MCENALLY R, 1979, J FINANCIAL RES SPR, P27

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