Portfolio optimisation with European options

DOI10.3934/FMF.2026007MaRDI QIDQ7364762zbMATH OpenFDO

Authors Jonathan Raimana Chan, Thomas K. Huckle, Antoine Jacquier, Aitor Muguruza

Publication date 2 October 2026

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/FMF.2026007

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Measures of association (correlation, canonical correlation, etc.) (62H20) Game theory, economics, finance, and other social and behavioral sciences (91-XX) Portfolio theory (91G10)

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