All Questions
Tagged with option-strategies portfolio-optimization
5
questions
0
votes
1
answer
117
views
Strategic Asset Allocation and Multi-Asset Class Option Based Tail Risk Hedging
If a Strategic Asset Allocation is defined as an asset allocation to weather all investment environments and one which should be employed in the absence of any market views, it would appear that the ...
- 6,642
5
votes
0
answers
1k
views
How to implement an “Active Long Volatility” Strategy?
The research paper "The Allegory of the Hawk and Serpent" describes an asset allocation referred to as the "Dragon" Portfolio, which allocates 18% to "active long volatility&...
4
votes
3
answers
3k
views
Replicate a Portfolio with Given Payoff
Looking for a convincing general strategy [not trial and error] to solve these kind of questions:
Any help will be super helpful!
Thanks a bunch!
Replicate a portfolio on an underlying asset $S$ ...
- 43
5
votes
1
answer
1k
views
How to apply Kelly criterion to a portfolio made by a stock plus a option?
First of all, assuming a Gaussian, Markowitz, well behaved world. Extensions for non-well behaved world will be welcomed.
I know that by a portfolio made by only by one stock (and a risk free bond) I ...
1
vote
1
answer
487
views
Effect of different maturity options in delta-gamma-hedging
I read about hedging with options and think i got it. However there is a case am not sure how to handle.
Is there any exception in the delta-gamma-hedging-(calculaton-)technique? - say: solve an set ...
- 25