We examine portfolios with the same expected return, obtained by minimising various risk measures: variance together with downside risk measures (lower partial ...
Main finding shows that the use of options does indeed decrease downside risk, and leads to better in-sample portfolio performance. Out-of-sample and back- ...
Aug 23, 2016 · Main finding shows that the use of options does indeed decrease downside risk, and leads to better in-sample portfolio performance. Out-of- ...
It is concluded that adding a put index option in addition to stocks, in order to actively create a portfolio, can substantially reduce the risk at a ...
Main finding shows that the use of options does indeed decrease downside risk, and leads to better in-sample portfolio performance. Out-of-sample and back- ...
Mohd A. Maasar, Diana Roman , Paresh Date : Portfolio Optimisation Using Risky Assets with Options as Derivative Insurance. SCOR 2016: 9:1-9:17.
The simplest approach to portfolio protection consists of implementing a stop-loss portfolio insurance strategy. Using this approach, the portfolio is fully ...
This paper establishes a dynamic portfolio insurance model under the condition of continuous time, based on Meton's optimal investment-consumption model, ...
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Nov 26, 2020 · In this paper, we proposed extensions of the MAD model with and without options when short selling, risk-neutral interest rate, and cardinality constraint are ...
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Portfolio Optimisation Using Risky Assets with Options as Derivative Insurance · Portfolio selection models: a review and new directions · Optimal Option ...