OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS

DOI10.1111/j.1467-9965.2008.00348.xzbMath1214.91101OpenAlexW2058449822WikidataQ57445472 ScholiaQ57445472MaRDI QIDQ3005843

Li, Duan, Jianfeng Liang, Shu-Zhong Zhang

Publication date: 9 June 2011

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2008.00348.x

zbMATH Keywords

stochastic programmingdynamic programmingstochastic controlscenario treemultistage mean-variance modeloptioned portfolio selection

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (4)

Systemic risk of optioned portfolio: controllability and optimization ⋮ Portfolio optimization model with and without options under additional constraints ⋮ BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM ⋮ Multistage portfolio optimization with stocks and options

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal investment in derivative securities

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