We describe an optimization model to evaluate the portfolio performance in the option’s market. Hedgers, managers and investors, in agreement with Markovitz’s theory, aimed at creating a portfolio made up by assets with negative correlation, so as to have a portfolio not linked to the economic cycle. The optimization portfolio problem with contingent claims allows creating wealth also in financial crisis without using short selling, since option returns show a strong negative correlation. The basic idea of this work is using only trading price options, in particular those written on principal stock indexes, in order to create a diversified portfolio. Thus we propose an ex-post analysis over a two-years period using different international portfolio strategies on the derivative market.

(2013). Portfolio selection with options [conference presentation - intervento a convegno]. Retrieved from http://hdl.handle.net/10446/29054

Portfolio selection with options

CASSADER, Marco;ORTOBELLI LOZZA, Sergio;CAVIEZEL, Valeria
2013-01-01

Abstract

We describe an optimization model to evaluate the portfolio performance in the option’s market. Hedgers, managers and investors, in agreement with Markovitz’s theory, aimed at creating a portfolio made up by assets with negative correlation, so as to have a portfolio not linked to the economic cycle. The optimization portfolio problem with contingent claims allows creating wealth also in financial crisis without using short selling, since option returns show a strong negative correlation. The basic idea of this work is using only trading price options, in particular those written on principal stock indexes, in order to create a diversified portfolio. Thus we propose an ex-post analysis over a two-years period using different international portfolio strategies on the derivative market.
2013
Cassader, Marco; ORTOBELLI LOZZA, Sergio; Caviezel, Valeria
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/29054
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