This note presents an extension of the Markoviz-type "mean-variance" portfolio optimisation approach over one period to portfolios of derivatives. Most notably, we show that once "writing off" parts of the portfolio is allowed, we naturally arrive at using "cash-invariant monotone hulls" a'la...

Statistical ecology deals with the development of new methodologies for analyzing ecological data. Advanced statistical models and techniques are often needed to provide robust analyses of the available data. The statistical models that are developed can often be separated into two distinct...