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- Modern portfolio theory was introduced in 1952 by H. Markowitz. The objective of the Nobel prize winner was to create an optimized portfolio which maximized the expected return while maintaining a maximum level of risk. Although Markowitz’s theory might be the starting point of mean-variance optimal portfolio calculator, the model has faced criticism. With the rising popularity of derivatives, the Markovitz Optimizer does not reflect investor strategies. Therefore, forcing portfolio optimizer to become more and more complex, this work aims at measuring the impact of options, and in what way(s) can the returns be improved through them.