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Document type:
Zeitschriftenaufsatz 
Author(s):
Scheuenstuhl, G.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
Title:
Integrated Portfolio Management with Options 
Abstract:
In this paper we examine the problem of managing portfolios consisting of both, stocks and options. For the simultaneous optimization of stock and option positions we base our analysis on the generally accepted mean-variance framework. First, we analyze the effects of options on the mean-variance efficient frontier if they are considered as separate investment alternatives. Due to the resulting asymmetric portfolio return distribution mean-variance analysis will be not sufficient to identify opt...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
European Journal of Operations Research 
Year:
2008 
Journal volume:
185 
Journal issue:
Pages contribution:
1477-1500 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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