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The financial literature has revealed that option strategies originate asymmetric return distributions, providing new investment opportunities, especially in the control and reduction of risk. In this way, it seems important to evaluate the performance of investment strategies that result from the combination of stock and option positions. On the other hand, given the inadequacy of the measures based upon mean and variance, we highlight the work of Leland (1999), which suggests a modificationdoi:10.2139/ssrn.313978 fatcat:y2vnak6uefgqhkfkfh2wdiphza