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A framework for including index options in the universe of assets, in addition to stocks, is provided. The exercise of index options is settled in cash, making this implementable with a variety of strike prices and maturities. We use a dataset with stocks from FTSE 100 and index options on FTSE100. Numerical results show that, for low risk-low return and to medium risk-medium return portfolios, the addition of an index put further reduces the risk to a considerable extent, particularly in the case of mean-CVaR efficient portfolios, where the left tail of the portfolio return distribution is dramatically improved. For high risk-high return portfolios, the inclusion of an index call improves the right tail of the return distribution, creating thus the opportunity for considerably higher returns.<\/jats:p>","DOI":"10.1007\/s12351-020-00559-5","type":"journal-article","created":{"date-parts":[[2020,4,11]],"date-time":"2020-04-11T15:02:16Z","timestamp":1586617336000},"page":"485-506","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Risk minimisation using options and risky assets"],"prefix":"10.1007","volume":"22","author":[{"given":"Mohd Azdi","family":"Maasar","sequence":"first","affiliation":[]},{"given":"Diana","family":"Roman","sequence":"additional","affiliation":[]},{"given":"Paresh","family":"Date","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2020,4,11]]},"reference":[{"key":"559_CR1","volume-title":"Risk measures. 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