A moment matching approach to log-normal portfolio optimization

DOI10.1007/S10287-016-0255-4MaRDI QIDQ1789581zbMATH OpenOpenAlexFDO

Authors Elçin Çetinkaya, Aurélie Thiele

Publication date 10 October 2018

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-016-0255-4

zbMATH Keywords

basket optionslog-normal distributionnonlinear optimizationportfolio management

Mathematics Subject Classification ID

Quadratic programming (90C20) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A heuristic for moment-matching scenario generation
• Bounds for Asian basket options
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Moment matching approximation of Asian basket option prices
• Optimization Methods in Finance
• Pricing of arithmetic basket options by conditioning.
• Stability analysis of portfolio management with conditional value-at-risk
• The pricing of options and corporate liabilities
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price

Cited in

(1)

• Mean Lower Partial Moment Valuation and Lognormally Distributed Returns

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