Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999

DOI10.1016/S0165-1889(02)00056-8zbMath1178.91174OpenAlexW2109908009WikidataQ57710155 ScholiaQ57710155MaRDI QIDQ951347

Per Olov Lindberg, Jörgen Blomvall

Publication date: 24 October 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00056-8

zbMATH Keywords

derivativesportfolio optimization

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming ⋮ Integrated dynamic models for hedging international portfolio risks ⋮ Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model ⋮ Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model ⋮ An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts ⋮ Stochastic optimal control of DC pension funds ⋮ Solving multistage asset investment problems by the sample average approximation method ⋮ Multistage portfolio optimization with stocks and options ⋮ Optimal portfolios for DC pension plans under a CEV model ⋮ PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS ⋮ A Riccati-based primal interior point solver for multistage stochastic programming

Uses Software

• RiskMetrics

Cites Work

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