Technical Note—Options Portfolio Selection

DOI10.1287/opre.2019.1925zbMath1455.91235OpenAlexW3017880181MaRDI QIDQ5130505

Eberhard Mayerhofer, Paolo Guasoni

Publication date: 4 November 2020

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

Full work available at URL: https://doi.org/10.1287/opre.2019.1925

zbMATH Keywords

optionsdualitySharpe ratioportfolio choicemultiple assets

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items

Minimal \(\mathcal{L}^p \)-densities with prescribed marginals

Cites Work

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• Spanning and completeness in markets with contingent claims
• Density approximations for multivariate affine jump-diffusion processes