Shortfall Risks and Excess Chances of Option-Based Rollover Hedge-Strategies with Respect to Alternative Target Returns : Empirical Evidence from the German Stock Market
Continuing the research of an earlier AFIR-Paper, we examine on the basis of a (partially) historical simulation approach return and risk of various rollover option strategies (put hedge; covered short call; collar). In addition to measure of shortfall risks we propose measures of excess returns (with respect to the same target) and analyse as well the consequences of alternative target returns on the shortfall risks resp. the excess chances. ...