Optimal portfolio selection in incomplete markets

  • Hledik, Juraj (Projektleitung)

Projektdetails

Beschreibung

We derive an explicit solution for covariance between european options under the assumption of incomplete markets. We use this object to create a trading strategy based on mean-variance preferences. Consequently, we compare the distribution of implied P&L ratio with other commonly used strategies using monte carlo simulation and argue about its effectiveness.
StatusLaufend
Tatsächlicher Beginn/ -es Ende1/09/11 → …