Portfolio optimization with covered calls
Mauricio Diaz, Roy H. Kwon
| Year of publication: |
2019
|
|---|---|
| Authors: | Diaz, Mauricio ; Kwon, Roy H. |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 20.2019, 1, p. 38-53
|
| Subject: | Covered call | Portfolio optimization | Mean-variance optimization | Conditional value-at-risk | Semivariance Options | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Optionsgeschäft | Option trading | Theorie | Theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-018-00106-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012059744