Non-linear equity portfolio variance reduction under a mean–variance framework—A delta–gamma approach

To examine the variance reduction from portfolios with both primary and derivative assets we develop a mean–variance Markovitz portfolio management problem. By invoking the delta–gamma approximation we reduce the problem to a well-posed quadratic programming problem. From a practitioner’s perspectiv...

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Veröffentlicht in:	Operations research letters 2013-11, Vol.41 (6), p.694-700
Hauptverfasser:	Jewell, Sean W., Li, Yang, Pirvu, Traian A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Approximation Derivatives Mathematical analysis Mean–variance Operations research Portfolios of options Quadratic programming Reduction Variance Well posed problems
Online-Zugang:	Volltext
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