Decision making on selection of investment project is one of the necessary stages of project analysis. At this stage, a multiplicity of investment projects, various interlinkages and characteristics are ana-lyzed usually. In a general case, when there are a number of variations of a single...

Options should play an important role in asset allocation. They allow for kernel spanning and provide access to additional (priced) risk factors such as stochastic volatility and negative jumps. Unfortunately, traditional methods of asset allocation (e.g. mean-variance optimization) are not...