OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS-Reference-Cited by-同舟云学术

OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS

Published:2008-10 Issue:4 Volume:18 Page:569-593
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Liang Jianfeng,Zhang Shuzhong,Li Duan

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2008.00348.x/fullpdf

Reference31 articles.

1. A Shortfall Approach to the Evaluation of Risk and Return of Positions with Options;Albrecht;Proceedings 5th AFIR International Colloquium, Brussels,1995

2. A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Progeamming;Berkelaar;Operat. Res.,2002

3. A Primal-Dual Decomposition Algorithm for Multistage Stochastic Convex Programming;Berkelaar;Math. Prog.,2005

4. Options Can Alter Portfolio Return Distributions;Bookstaber;J. Portfolio Manag.,1981

5. Option Portfolio Strategies: Measurement and Evaluation;Bookstaber;J. Business,1984

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