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Titel:

Integrated Portfolio Management with Options

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Scheuenstuhl, G.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
Zeitschriftentitel:
European Journal of Operations Research
Jahr:
2008
Band / Volume:
185
Heft / Issue:
3
Seitenangaben Beitrag:
1477-1500
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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