{"id":"https://openalex.org/W2012205015","doi":"https://doi.org/10.1086/296275","title":"Option Portfolio Strategies: Measurement and Evaluation","display_name":"Option Portfolio Strategies: Measurement and Evaluation","publication_year":1984,"publication_date":"1984-01-01","ids":{"openalex":"https://openalex.org/W2012205015","doi":"https://doi.org/10.1086/296275","mag":"2012205015"},"language":"en","primary_location":{"id":"doi:10.1086/296275","doi":"https://doi.org/10.1086/296275","is_oa":false,"landing_page_url":"https://doi.org/10.1086/296275","pdf_url":null,"source":{"id":"https://openalex.org/S64223753","display_name":"The Journal of Business","issn_l":"0021-9398","issn":["0021-9398","1537-5374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310315672","host_organization_name":"University of Chicago Press","host_organization_lineage":["https://openalex.org/P4310315672","https://openalex.org/P4310315690"],"host_organization_lineage_names":["University of Chicago Press","University of Chicago"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Business","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5047652408","display_name":"Richard M. Bookstaber","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Richard Bookstaber","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5102012112","display_name":"Roger Clarke","orcid":"https://orcid.org/0000-0001-6266-1793","observed_orcids":["https://orcid.org/0000-0001-6266-1793"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Roger Clarke","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":68,"citation_normalized_percentile":{"value":0.21846953,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":98},"biblio":{"volume":"57","issue":"4","first_page":"469","last_page":"469"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8637999892234802,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.8637999892234802,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.09390000253915787,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.01590000092983246,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/call-options","display_name":"call options","score":0.8550000190734863},{"id":"https://openalex.org/keywords/put-options","display_name":"put options","score":1.0},{"id":"https://openalex.org/keywords/risk-return-profile","display_name":"risk-return profile","score":0.5730000138282776},{"id":"https://openalex.org/keywords/return-distribution","display_name":"return distribution","score":0.7369999885559082},{"id":"https://openalex.org/keywords/spanning","display_name":"spanning","score":0.4880000054836273},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.5770000219345093},{"id":"https://openalex.org/keywords/investment-flexibility","display_name":"investment flexibility","score":0.5379999876022339}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6454960107803345},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.49768736958503723},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.40839290618896484},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.36257439851760864},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.23107662796974182}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1086/296275","doi":"https://doi.org/10.1086/296275","is_oa":false,"landing_page_url":"https://doi.org/10.1086/296275","pdf_url":null,"source":{"id":"https://openalex.org/S64223753","display_name":"The Journal of Business","issn_l":"0021-9398","issn":["0021-9398","1537-5374"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["anvur-scientific","cwts-core"],"host_organization":"https://openalex.org/P4310315672","host_organization_name":"University of Chicago Press","host_organization_lineage":["https://openalex.org/P4310315672","https://openalex.org/P4310315690"],"host_organization_lineage_names":["University of Chicago Press","University of Chicago"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Business","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":50,"referenced_works":["https://openalex.org/W1239534426","https://openalex.org/W1480172732","https://openalex.org/W1528454139","https://openalex.org/W1963657133","https://openalex.org/W1964051105","https://openalex.org/W1967096903","https://openalex.org/W1967684208","https://openalex.org/W1970330119","https://openalex.org/W1976707550","https://openalex.org/W1980824691","https://openalex.org/W1983096747","https://openalex.org/W1993185882","https://openalex.org/W1993875222","https://openalex.org/W1998143474","https://openalex.org/W2005847459","https://openalex.org/W2008562417","https://openalex.org/W2008910212","https://openalex.org/W2019713892","https://openalex.org/W2020029863","https://openalex.org/W2024882325","https://openalex.org/W2026454108","https://openalex.org/W2035346742","https://openalex.org/W2040566535","https://openalex.org/W2044758094","https://openalex.org/W2045249631","https://openalex.org/W2050797981","https://openalex.org/W2056878694","https://openalex.org/W2061599501","https://openalex.org/W2064572866","https://openalex.org/W2071632035","https://openalex.org/W2071778234","https://openalex.org/W2075420092","https://openalex.org/W2077343001","https://openalex.org/W2077958671","https://openalex.org/W2079380315","https://openalex.org/W2088076102","https://openalex.org/W2092693750","https://openalex.org/W2093526895","https://openalex.org/W2093668988","https://openalex.org/W2094458235","https://openalex.org/W2108342281","https://openalex.org/W2151154389","https://openalex.org/W2153956458","https://openalex.org/W2161714488","https://openalex.org/W2165193639","https://openalex.org/W2167067690","https://openalex.org/W2168414965","https://openalex.org/W2319663252","https://openalex.org/W2620821047","https://openalex.org/W3147420856"],"related_works":["https://openalex.org/W2008562417","https://openalex.org/W2056878694","https://openalex.org/W133215596","https://openalex.org/W1967684208","https://openalex.org/W103531543","https://openalex.org/W3121885078","https://openalex.org/W1509108506","https://openalex.org/W1589889665","https://openalex.org/W4411277474","https://openalex.org/W2970604529"],"abstract_inverted_index":{"It":[0],"is":[1,109],"well":[2],"known":[3],"that":[4,110],"options":[5,155,176],"can":[6],"increase":[7,34],"the":[8,35,38,43,55,63,133,151,169,183],"flexibility":[9],"of":[10,37,46,57,73,85,111,148,150,153],"returns":[11],"available":[12],"from":[13],"investment":[14,44],"strategies.":[15],"Papers":[16],"by":[17],"Ross":[18],"(1976),":[19],"Breeden":[20],"and":[21,24,26,50,92,114,132,145,177],"Litzenberger":[22],"(1978),":[23],"Arditti":[25],"John":[27],"(1980)":[28],"point":[29,196],"toward":[30],"spanning":[31],"opportunities":[32],"which":[33,204],"efficiency":[36],"financial":[39],"markets":[40],"in":[41,61,98,106,121,168,182],"meeting":[42],"objectives":[45],"investors.":[47],"While":[48],"these":[49],"other":[51,74,134],"studies":[52,75],"have":[53,76,97],"demonstrated":[54],"potential":[56],"option":[58,90,93,127,137],"portfolio":[59,128,138],"strategies":[60,95,129,139],"molding":[62],"return":[64,101],"distribution":[65],"to":[66,80,195],"better":[67],"fit":[68],"risk":[69,100],"preferences,":[70],"a":[71,143,163,178],"number":[72],"used":[77],"simulation":[78,180],"techniques":[79],"give":[81],"an":[82],"empirical":[83],"view":[84],"just":[86],"what":[87],"effect":[88],"particular":[89],"stock":[91,157],"bond":[94],"will":[96],"altering":[99],"patterns.":[102],"A":[103],"major":[104],"study":[105,161],"this":[107],"area":[108],"Merton,":[112],"Scholes,":[113],"Gladstein":[115],"(1978,":[116],"1982).":[117],"Their":[118],"study,":[119],"presented":[120],"two":[122],"papers,":[123],"one":[124],"on":[125,135,172,186,201],"call":[126,175],"(hereinafter":[130,140],"MSGl)":[131],"put":[136,189],"MSG2),":[141],"presents":[142],"broad":[144],"insightful":[146],"discussion":[147],"many":[149],"implications":[152],"combining":[154],"with":[156],"portfolios.":[158],"The":[159],"MSG":[160],"employs":[162],"12.5-year":[164],"period":[165,181],"for":[166],"simulations":[167],"first":[170],"paper":[171,185],"portfolios":[173,187],"using":[174,188],"14-year":[179],"second":[184],"options.":[190],"As":[191],"they":[192],"are":[193],"careful":[194],"out,":[197],"their":[198],"results":[199],"depend":[200],"market":[202],"trends":[203],"may":[205],"not":[206],"match":[207],"ex":[208],"ante":[209],"expecta-":[210]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":5},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2016-06-24T00:00:00"}