A Markowitz Portfolio Approach to Options Trading

DOI10.1109/TSP.2018.2849733zbMath1414.91357OpenAlexW2808770127MaRDI QIDQ4622320

Licheng Zhao, Daniel P. Palomar

Publication date: 12 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tsp.2018.2849733

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Robust CCMV model with short selling and risk-neutral interest rate ⋮ Portfolio optimization model with and without options under additional constraints ⋮ Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate

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