Diversification with options and structured products

DOI10.1007/s11147-020-09169-xzbMath1467.91191OpenAlexW3043924610MaRDI QIDQ2036857

Marc Oliver Rieger, Shuonan Yuan

Publication date: 30 June 2021

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-020-09169-x

zbMATH Keywords

optionsportfolio optimizationexpected utilitydiversificationstructured products

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Options and structured products in behavioral portfolios
• Risk classes for structured products: mathematical aspects and their implications on behavioral investors
• Implied risk aversion: an alternative rating system for retail structured products
• Why is the Index Smile So Steep? *
• Myopic Loss Aversion and the Equity Premium Puzzle
• Can utility optimization explain the demand for structured investment products?
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An Empirical Portfolio Perspective on Option Pricing Anomalies*

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