Optimal Use of Put Options in a Stock Portfolio
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References listed on IDEAS
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- Bell, Peter Newton, 2014. "Design of Financial Derivatives: Statistical Power does not Ensure Risk Management Power," MPRA Paper 57438, University Library of Munich, Germany.
- Bell, Peter Newton, 2014. "Properties of time averages in a risk management simulation," MPRA Paper 55803, University Library of Munich, Germany.
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More about this item
Keywords
Portfolio; optimization; financial derivative; put option; quantity; expected utility; numerical analysis;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2014-03-22 (Computational Economics)
- NEP-RMG-2014-03-22 (Risk Management)
- NEP-UPT-2014-03-22 (Utility Models and Prospect Theory)
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