About: Portfolio selection with options

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	We describe an optimization model to evaluate the portfolio performance in the option’s market. Hedgers, managers and investors, in agreement with Markovitz’s theory, aimed at creating a portfolio made up by assets with negative correlation, so as to have a portfolio not linked to the economic cycle. The optimization portfolio problem with contingent claims allows creating wealth also in financial crisis without using short selling, since option returns show a strong negative correlation. The basic idea of this work is using only trading price options, in particular those written on principal stock indexes, in order to create a diversified portfolio. Thus we propose an ex-post analysis over a two-years period using different international portfolio strategies on the derivative market. We describe an optimization model to evaluate the portfolio performance in the option’s market. Hedgers, managers and investors, in agreement with Markovitz’s theory, aimed at creating a portfolio made up by assets with negative correlation, so as to have a portfolio not linked to the economic cycle. The optimization portfolio problem with contingent claims allows creating wealth also in financial crisis without using short selling, since option returns show a strong negative correlation. The basic idea of this work is using only trading price options, in particular those written on principal stock indexes, in order to create a diversified portfolio. Thus we propose an ex-post analysis over a two-years period using different international portfolio strategies on the derivative market. (en)
Title	Portfolio selection with options Portfolio selection with options (en)
skos:prefLabel	Portfolio selection with options Portfolio selection with options (en)
skos:notation	RIV/61989100:27510/13:86088674!RIV14-MSM-27510___
http://linked.open...avai/riv/aktivita	P
http://linked.open...avai/riv/aktivity	P(ED1.1.00/02.0070), P(EE2.3.20.0296)
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Ortobelli, Sergio Lozza
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	97362
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/13:86088674
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	liquidity constrains; performance strategy; call and put; portfolio selection (en)
http://linked.open.../riv/klicoveSlovo	portfolio selection call and put liquidity constrains performance strategy
http://linked.open...ontrolniKodProRIV	[BC28D985EA99]
http://linked.open...v/mistoKonaniAkce	Valencie
http://linked.open...i/riv/mistoVydani	[Španělsko]
http://linked.open...i/riv/nazevZdroje	Recent advances in intelligent control, modelling and computational science : proceedings ... : Valencia, Spain, August 6-8, 2013
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	3 (xsd:int)
http://linked.open...vavai/riv/projekt	Research team for modelling of economic and financial processes at VSB-TU Ostrava IT4Innovations Centre of Excellence
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Ortobelli, Sergio Lozza Cassader, Marco Caviezel, Valeria
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-08-06 (xsd:date)
issn	2227-4588
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	WSEAS Press
https://schema.org/isbn	978-960-474-319-3
http://localhost/t...ganizacniJednotka	27510

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