OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS

DOI10.1111/J.1467-9965.2008.00348.XMaRDI QIDQ3005843zbMATH OpenOpenAlexWikidataFDO

Authors Jianfeng Liang, Duan Li, Shuzhong Zhang

Publication date 9 June 2011

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2008.00348.x

zbMATH Keywords

dynamic programmingmultistage mean-variance modeloptioned portfolio selectionscenario treestochastic controlstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

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Cites work

• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal investment in derivative securities
• Optimum consumption and portfolio rules in a continuous-time model

Cited in

(17)

• Options strategies with the risk adjustment
• Construction of a decision-support system for a combination of options
• Optimization of covered call strategies
• Portfolio optimization model with and without options under additional constraints
• Optimization of covered calls under uncertainty
• Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach
• Integrated portfolio management with options
• OptAn - a pilot program system for analysis of options
• Multistage portfolio optimization with stocks and options
• Optimal portfolio of continuous-time mean-variance model with futures and options
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Performance measurement for option portfolios in a stochastic volatility framework
• Technical note: Options portfolio selection
• Option portfolio management as a chance constrained problem
• Systemic risk of optioned portfolio: controllability and optimization
• Option pricing and stochastic optimization
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999

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