A moment matching approach to log-normal portfolio optimization

DOI10.1007/s10287-016-0255-4zbMath1416.91343OpenAlexW2345972272MaRDI QIDQ1789581

Elçin Çetinkaya, Aurélie Thiele

Publication date: 10 October 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-016-0255-4

zbMATH Keywords

nonlinear optimizationportfolio managementlog-normal distributionbasket options

Mathematics Subject Classification ID

Quadratic programming (90C20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Bounds for Asian basket options
• Moment matching approximation of Asian basket option prices
• Pricing of arithmetic basket options by conditioning.
• A heuristic for moment-matching scenario generation
• Financial scenario generation for stochastic multi-stage decision processes as facility location problems
• Optimization Methods in Finance
• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• Stability analysis of portfolio management with conditional value-at-risk

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