Cover Image

Portfolio optimisation with options

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Chan, Jonathan Raimana, Huckle, Thomas, Jacquier, Antoine, Muguruza, Aitor
Format:	Preprint
Published:	2021
Subjects:	Portfolio Management Mathematical Finance 46N10, 62H20, 91G10
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)

Signature Methods in Stochastic Portfolio Theory
by: Cuchiero, Christa, et al.
Published: (2023)

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
by: Chong, Wing Fung, et al.
Published: (2024)

Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
by: Cotton, Peter
Published: (2024)

Decrease of capital guarantees in life insurance products: can reinsurance stop it?
by: Escobar-Anel, Marcos, et al.
Published: (2021)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

Pathwise analysis of log-optimal portfolios
by: Allan, Andrew L., et al.
Published: (2025)

Optimal consumption under loss-averse multiplicative habit-formation preferences
by: Angoshtari, Bahman, et al.
Published: (2024)

Optimal Trading under Instantaneous and Persistent Price Impact, Predictable Returns and Multiscale Stochastic Volatility
by: Chan, Patrick, et al.
Published: (2025)

Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)

Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026)

Portfolio Optimization under Transaction Costs with Recursive Preferences
by: Herdegen, Martin, et al.
Published: (2024)

Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
by: Garces, Len Patrick Dominic M., et al.
Published: (2024)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Fei, Zhe, et al.
Published: (2025)

The lexical ratio: A new perspective on portfolio diversification
by: Mohseni, Sayyed Faraz, et al.
Published: (2024)

Portfolio optimisation: bridging the gap between theory and practice
by: Valle, Cristiano Arbex
Published: (2024)

Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
by: Kopeliovich, Yaacov, et al.
Published: (2024)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
by: Sekine, Masashi
Published: (2026)

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)

Geopolitical and Institutional Constraints on Adaptive Market Efficiency -- A Feasibility Diagnostic for Robust Portfolio Construction
by: Garrone, Roberto
Published: (2026)

Regime-Based Portfolio Allocation Using Hidden Markov Models and Reinforcement Learning
by: Verma, Ajay Kumar, et al.
Published: (2026)

Switching between states and the COVID-19 turbulence
by: Aarab, Ilias
Published: (2025)

Deep Learning Forecasting of the U.S. Aggregate Bond Index
by: Verma, Ajay Kumar, et al.
Published: (2026)

The Sherman-Morrison-Markowitz Portfolio
by: Pav, Steven E.
Published: (2026)

Goal-based portfolio selection with fixed transaction costs
by: Bayraktar, Erhan, et al.
Published: (2025)

Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024)

Intertemporal Cost-efficient Consumption
by: Elizalde, Mauricio, et al.
Published: (2024)

Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

Selection Confidence Sets for Equally Weighted Portfolios
by: Ferrari, Davide, et al.
Published: (2025)

A mathematical study of the excess growth rate
by: Campbell, Steven, et al.
Published: (2025)

Robust Utility Optimization via a GAN Approach
by: Krach, Florian, et al.
Published: (2024)

The geometry of higher order modern portfolio theory
by: Horobet, Emil
Published: (2025)

$α$-robust utility maximization with intractable claims: A quantile optimization approach
by: Chen, Xinyu, et al.
Published: (2026)

Optimal Portfolio Choice with Cross-Impact Propagators
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Beyond Correlation: Positive Definite Dependence Measures for Robust Inference, Flexible Scenarios, and Causal Modeling for Financial Portfolios
by: Opdyke, JD
Published: (2025)

The insider problem in the trinomial model: a discrete-time jump process approach
by: Halconruy, Hélène
Published: (2021)

Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection
by: Sikaria, Shubhangi, et al.
Published: (2019)

Optimal investment with insider information using Skorokhod & Russo-Vallois integration
by: Elizalde, Mauricio, et al.
Published: (2022)