Ashrafi, Hedieh; Thiele, Aurélie C. - In: Operations Research Perspectives 8 (2021), pp. 1-18
We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as … deviations of these factors from their nominal values. Our goal is to understand the impact of options on the optimal portfolio … portfolio diversification. Specifically, we show that the presence of options only leads to limited diversification across the …