Most standard statistical methods treat numerical data as if they were real (infinitenumber- of-decimal-places) observations. The issue of quantization or digital resolution is recognized by engineers and metrologists, but is largely ignored by statisticians and can render standard statistical...

This note presents an extension of the Markoviz-type "mean-variance" portfolio optimisation approach over one period to portfolios of derivatives. Most notably, we show that once "writing off" parts of the portfolio is allowed, we naturally arrive at using "cash-invariant monotone hulls" a'la...