Optimal portfolio selection in incomplete markets


Type Research Project

Duration since Sept. 1, 2011

  • Institute for Financial Research IN (Details)

Tags

Press 'enter' for creating the tag
  • Hledik, Juraj (Former researcher) Project Head
 

Abstract (English)

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.

Publications