Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach

DOI10.1016/j.orl.2013.09.013zbMath1287.91134OpenAlexW2044933547MaRDI QIDQ2450760

Yanyan Li

Publication date: 15 May 2014

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2013.09.013

zbMATH Keywords

quadratic programmingmean-varianceportfolios of options

Mathematics Subject Classification ID

Quadratic programming (90C20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (1)

Detecting stock market regimes from option prices

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• Optimal investment with derivative securities
• Optimization Methods in Finance
• Optimal positioning in derivative securities
• Asset allocation and derivatives
• Portfolio optimization for studenttand skewedtreturns

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