TY - JOUR T1 - Semivariance and Optioned Black–Litterman<br/>Portfolios JF - The Journal of Investing SP - 92 LP - 98 DO - 10.3905/joi.2012.21.4.092 VL - 21 IS - 4 AU - Suneal K. Chaudhary Y1 - 2012/11/30 UR - https://pm-research.com/content/21/4/92.abstract N2 - We present a portfolio construction technique which can incorporate options into a portfolio, measure and manage risk more effectively than classical techniques, and deliver the attractive diversification and robustness of the Black-Litterman technique. Our technique finds option strategies which are fundamentally divergent from those that the classical portfolio techniques calculate. Our strategies can dominate the classical mean-variance portfolios, both in normal situations and in an unexpected downturn.TOPICS: Portfolio construction, options, VAR and use of alternative risk measures of trading risk ER -