Portfolio selection with options

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F13%3A86088674" target="_blank" >RIV/61989100:27510/13:86088674 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Portfolio selection with options
Original language description
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 ideaof 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.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Recent advances in intelligent control, modelling and computational science : proceedings ... : Valencia, Spain, August 6-8, 2013
ISBN
978-960-474-319-3
ISSN
2227-4588
e-ISSN
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Number of pages
6
Pages from-to
89-94
Publisher name
WSEAS Press
Place of publication
[Španělsko]
Event location
Valencie
Event date
Aug 6, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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