Asset allocation and derivatives

DOI10.1080/713665551zbMath1405.91694OpenAlexW2166422545MaRDI QIDQ4646464

Andrew W. Lo, Martin B. Haugh

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/713665551

zbMATH Keywords

optimal dynamic investment policybuy-and-hold portfolios of options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (9)

Equilibrium open interest ⋮ Derivatives-based portfolio decisions: an expected utility insight ⋮ Good deal indices in asset pricing: actuarial and financial implications ⋮ Portfolio selection: a target-distribution approach ⋮ Estimating a Hedge Fund Return Model Based on a Small Number of Samples ⋮ Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach ⋮ The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes ⋮ A martingale approach for asset allocation with derivative security and hidden economic risk ⋮ Combined Custom Hedging: Optimal Design, Noninsurable Exposure, and Operational Risk Management

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