Optimal Design of Multi-Asset Options
The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk (henceforth “...
| Päätekijät: | , , |
|---|---|
| Aineistotyyppi: | Artikkeli |
| Kieli: | English |
| Julkaistu: |
MDPI AG
2025-01-01
|
| Sarja: | Risks |
| Aiheet: | |
| Linkit: | https://www.mdpi.com/2227-9091/13/1/16 |