A Markowitz Portfolio Approach to Options Trading

DOI10.1109/TSP.2018.2849733MaRDI QIDQ4622320zbMATH OpenOpenAlexFDO

Authors Licheng Zhao, D. P. Palomar

Publication date 12 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2018.2849733

Mathematics Subject Classification ID

Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cited in

(6)

• Optimal trading of stock options under alternative strategy
• Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
• Robust CCMV model with short selling and risk-neutral interest rate
• Portfolio optimization model with and without options under additional constraints
• Projected gradient descent method for cardinality-constrained portfolio optimization
• Enhanced indexation using both equity assets and index options

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