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Multiperiod portfolio optimization with multiple risky assets and general transaction costs

Mei, Xiaoling; DeMiguel, Victor; Nogales, Francisco J. - In: Journal of banking & finance 69 (2016), pp. 108-120

Persistent link: https://www.econbiz.de/10011635053

Optimal portfolio in the presence of transaction costs and convex risk measure

Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15

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An LP approach to synthetic option replication with transaction costs and multiple security selection

Dennis, Patrick - In: Advances in futures and options research : a research annual 8 (1995), pp. 53-84

Persistent link: https://www.econbiz.de/10001211317

Valuation of options on several risky assets when there are transactions costs

Boyle, Phelim P. - In: Advances in futures and options research : a research annual 9 (1997), pp. 111-127

Persistent link: https://www.econbiz.de/10001226768

Dual optimization problem on defaultable claims

Goutte, Stéphane; Ngoupeyou, Armand - In: Mathematical economics letters 1 (2013) 2/4, pp. 47-54

Persistent link: https://www.econbiz.de/10010437851

A set optimization approach to utility maximization under transaction costs

Hamel, Andreas; Calder-Wang, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 257-275

Persistent link: https://www.econbiz.de/10011997740

Options Portfolio Selection with Position Limits

Guasoni, Paolo; Mayerhofer, Eberhard; Zhao, Mingchuan - 2022

This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500, Nasdaq 100, and Dow Jones indexes, using a constrained optimization approach that incorporates position limits, transaction costs, and...

Persistent link: https://www.econbiz.de/10014236006

Hedging Greeks for a portfolio of options using linear and quadratic programming

Sinha, Pankaj; Johar, Archit - In: The journal of prediction markets 4 (2010) 1, pp. 17-26

Persistent link: https://www.econbiz.de/10003989829

An optimal timing approach to option portfolio risk management

Leung, Tim; Liu, Peng - In: Advances in financial risk management : corporates, …, (pp. 391-404). 2013

Persistent link: https://www.econbiz.de/10010213038

Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal

Cui, Xueting; Zhu, Shushang; Sun, Xiaoling; Li, Duan - In: Journal of banking & finance 37 (2013) 6, pp. 2124-2139

Persistent link: https://www.econbiz.de/10009742471