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Asset allocation and derivatives

Citations

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Cited by:

  1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
  2. Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, February.
  3. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
  4. Marcos Escobar-Anel & Matt Davison & Yichen Zhu, 2022. "Derivatives-based portfolio decisions: an expected utility insight," Annals of Finance, Springer, vol. 18(2), pages 217-246, June.
  5. Marco Cassader & Sergio Ortobelli Lozza, 2013. "Portfolio selection with options," Working Papers (2013-) 1303_qum, University of Bergamo, Department of Management, Economics and Quantitative Methods.
  6. René Caldentey & Martin Haugh, 2006. "Optimal Control and Hedging of Operations in the Presence of Financial Markets," Mathematics of Operations Research, INFORMS, vol. 31(2), pages 285-304, May.
  7. Massimo Guidolin & Giacomo Leonetti & Manuela Pedio, 2024. "Who should buy structured investment products and why?," BAFFI CAREFIN Working Papers 24222, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
  8. Balbás, Alejandro & Serna, Gregorio, 2024. "Selling options to beat the market: Further empirical evidence," Research in International Business and Finance, Elsevier, vol. 67(PB).
  9. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
  10. Robert C. Merton & Zvi Bodie, 2005. "Design Of Financial Systems: Towards A Synthesis Of Function And Structure," World Scientific Book Chapters, in: H Gifford Fong (ed.), The World Of Risk Management, chapter 1, pages 1-27, World Scientific Publishing Co. Pte. Ltd..
  11. Balbás, Beatriz & Balbás, Raquel, 2018. "Relationships between the stochastic discount factor and the optimal omega ratio," IC3JM - Estudios = Working Papers 26348, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  12. Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
  13. repec:cte:idrepe:23546 is not listed on IDEAS
  14. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
  15. Balbás, Beatriz & Balbás, Raquel, 2016. "Must an optimal buy and hold strategy contain any derivative?," IC3JM - Estudios = Working Papers 23912, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  16. Roger Bowden & Jennifer Zhu, 2010. "Multi-scale variation, path risk and long-term portfolio management," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 783-796.
  17. Jun Pan & Allen M. Poteshman, 2006. "The Information in Option Volume for Future Stock Prices," The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 871-908.
  18. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
  19. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  20. Gabriela Prelipcean & Mircea Boscoianu, 2020. "Risk Analysis of a Hedge Fund Oriented on Sustainable and Responsible Investments for Emerging Markets," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 22(55), pages 653-653, August.
  21. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
  22. Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
  23. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
  24. Garrido, José & Okhrati, Ramin, 2016. "Good deal measurement in asset pricing: Actuarial and financial implications," IC3JM - Estudios = Working Papers 23546, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  25. Robert Kohn & Oana Papazoglu-Statescu, 2006. "On the equivalence of the static and dynamic asset allocation problems," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 173-183.
  26. Sebastian, Steffen P. & Steininger, Bertram I., 2021. "Real estate ETNs in strategic asset allocation," Working Paper Series 21/8, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
  27. Chiara Oldani, 2005. "An Overview of the Literature about Derivatives," Macroeconomics 0504004, University Library of Munich, Germany.
  28. Yuan-Hung Hsuku, 2007. "Dynamic consumption and asset allocation with derivative securities," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 137-149.
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