Portfolio optimisation with options

Jonathan Raimana Chan, Thomas Huckle, Antoine Jacquier and Aitor Muguruza

Papers from arXiv.org

Abstract: We develop a new analysis for portfolio optimisation with options, tackling the three fundamental issues with this problem: asymmetric options' distributions, high dimensionality and dependence structure. To do so, we propose a new dependency matrix, built upon conditional probabilities between options' payoffs, and show how it can be computed in closed form given a copula structure of the underlying asset prices. The empirical evidence we provide highlights that this approach is efficient, fast and easily scalable to large portfolios of (mixed) options.

Date: 2021-11, Revised 2024-09
New Economics Papers: this item is included in nep-cwa and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2111.12658 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2111.12658

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).