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The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared to an all equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing problems. The criterion is inspired by...
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We find that the leverage factors of leveraged and inverse exchange traded funds can effect the "crookedness"' of volatility smiles. We model leveraged and inverse ETF option prices using partial differential equations (PDEs) and determine closed-form solutions for the option values following...
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