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Options as a strategic investment

McMillan, Lawrence G. - 2012

Persistent link: https://www.econbiz.de/10009707769

Integer programs for margining option portfolios by option spreads with more than four legs

Matsypura, Dmytro; Timkovsky, V. G. - In: Computational Management Science : CMS 10 (2013) 1, pp. 51-76

Persistent link: https://www.econbiz.de/10009713809

Multistage optimization of option portfolio using higher order coherent risk measures

Matmoura, Yassine; Penev, Spiridon - In: European journal of operational research : EJOR 227 (2013) 1, pp. 190-198

Persistent link: https://www.econbiz.de/10009723389

Pricing of margrabe options for large investors with application to asset-liability management in life insurance

Bølviken, Erik; Proske, Frank; Rubtsov, Mark - In: Journal of mathematical finance 4 (2014) 2, pp. 113-122

Persistent link: https://www.econbiz.de/10010380906

Optimal investment strategy for kinked utility maximization : covered call option strategy

Yamashita, Miwaka - In: Journal of mathematical finance 4 (2014) 2, pp. 55-74

Persistent link: https://www.econbiz.de/10010380912

Essays on optimal and benchmark portfolios, and on the use of option-implied information

Plyakha, Yuliya - 2013

Persistent link: https://www.econbiz.de/10009789774

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming

Yin, Libo; Han, Liyan - In: Including special section: applications of operations …, (pp. 557-576). 2013

Persistent link: https://www.econbiz.de/10009792017

A regression-based methodology for efficiently building futures' portfolio

Maris, K.; Koutsothimiou, D.; Petropoulos, Fotios; Petra, E. - In: The empirical economics letters : a monthly … 12 (2013) 2, pp. 231-237

Persistent link: https://www.econbiz.de/10010257936

A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions

Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804

Persistent link: https://www.econbiz.de/10010336666

Portfolio selection with options and transaction costs

Malamud, Semyon - 2014

I introduce dynamic option trading and non-linear views into the classical portfolio selection problem. The optimal dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the mean-variance effi cient portfolio is played by the "Greek...

Persistent link: https://www.econbiz.de/10010337963

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