The Impact of Options on Investment Portfolios in the Short-Run and the Long-Run, with a Focus on Downside Protection and Call Overwriting
In this remtavares.com article, we analyse the impact of the introduction of options on an investment portfolio.Our first objective is to derive closed-form formulae for the standard measures of portfolio efficiency: risk premium, risk, Sharpe ratio, and beta, of any portfolio containing any combination of options.Using these formulae on three exam