Integrated portfolio management with options

DOI10.1016/J.EJOR.2005.02.080MaRDI QIDQ2464233zbMATH OpenOpenAlexFDO

Authors Gerhard Scheuenstuhl, R. Zagst

Publication date 10 December 2007

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2005.02.080

zbMATH Keywords

asymmetric return distributionsinvestment analysismean-variance efficiencyoptioned portfoliosshortfall constraints

Mathematics Subject Classification ID

Recommendations

• OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
• Technical note: Options portfolio selection
• Option portfolio management as a chance constrained problem
• Optimal control of option portfolios and applications
• Optimal portfolio strategies benchmarking the stock market

Cites work

• An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions
• Coherent measures of risk
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• scientific article; zbMATH DE number 2130849 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 3323587 (Why is no real title available?)
• Interest-rate management
• Options and Efficiency
• Portfolio optimization under credit risk
• Portfolio optimization: Volatility constraints versus shortfall constraints
• Safety First and the Holding of Assets
• The pricing of options and corporate liabilities
• Tracking bond indices in an integrated market and credit risk environment

Cited in

(13)

• Diversification with options and structured products
• Portfolio optimization model with and without options under additional constraints
• Dynamic surplus optimization with performance- and index-linked liabilities
• Multistage portfolio optimization with stocks and options
• The multi-objective alternative assets investment optimization model on sovereign wealth funds based on risk control
• Options and structured products in behavioral portfolios
• Performance measurement for option portfolios in a stochastic volatility framework
• Technical note: Options portfolio selection
• Option portfolio management as a chance constrained problem
• Analytische Evaluation des Risiko-Chance-Profils kombinierter Aktien- und Optionsstrategien
• An Empirical Portfolio Perspective on Option Pricing Anomalies*
• Enhanced indexation using both equity assets and index options
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999

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