Modeling a risk-based criterion for a portfolio with options
نویسندگان
چکیده
منابع مشابه
Modeling a Risk - Based Criterion for a Portfolio with Options ∗
The presence of options in a portfolio fundamentally alters the portfolio’s risk and return profiles when compared to an all equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing problems. The criterion is inspired by Chicago Mercantile Exchange’s risk-based margining system which sets the collateralization requirements on ...
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ژورنال
عنوان ژورنال: The Journal of Risk
سال: 2014
ISSN: 1465-1211
DOI: 10.21314/jor.2014.279