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Title:

Optimal Optioned Portfolios with Confidence Limits on Shortfall Constraints

Document type:
Buchbeitrag
Author(s):
Scheuenstuhl, G.; Zagst, R.
Cooperation:
-
Pages contribution:
1497-1517
Abstract:
In this paper we examine the problem of managing portfolios consisting of both, stocks and options. Due to the resulting asymmetric portfolio return distribution we do not use mean variance analysis but represent the preferences of the investors in terms of confidence limits on downside risk measures. For the simultaneous optimization of the stock and option positions we derive portfolios with a maximum expected return under a given preference structure expressed by shortfall constraints. To ide...     »
Editor:
Albrecht, P.
Book title:
Aktuarielle Ansätze für Finanzrisiken, Vol. II
Intellectual Contribution:
Contribution to Practice
Publisher:
Verlag Versicherungswirtschaft
Year:
1996
Language:
en
Format:
Text
Key publication:
Nein
Peer reviewed:
ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Category:
textbook
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