This study investigates the possibility that more efficient portfolios may be constructed by
using the dual-beta model that screens out assets that exhibit more extreme downside risk …

This study reviews the potential benefit of index option-based strategies as well as the
unique risk and return distributions that result from these strategies. The empirical results are …

We present a new approach to asset allocation with transaction costs. A multiperiod
stochastic linear programming model is developed where the risk is based on the worst case …

Indexing has become a popular practice in the investment community. The 2 primary
methodologies that can be used to index a portfolio are presented, and then alternatives to …

Assuming the underlying asset price remains constant, previous studies show that the time
value of an option decays gradually at a rate that accelerates over time and peaks at the …

Mean-variance analysis has been broadly used in the theory and practice of portfolio
management. However, the continuous analogy is not fully studied either academically or in …

We discuss a new approach to asset allocation with transaction costs. A multi-period
stochastic linear programming model is developed where the risk is based on the worst case …

This dissertation investigates the inclusion of volatility into the asset allocation decision, first
as an asset class, and second as a tool for dynamic equity allocation. An examination on …

The article discusses the implication of using index options in protecting equity portfolios. It
examines the effect of combining the VIX index, which identifies at-the-money (ATM) implied …

Portföy sigortası dünya piyasalarında yaygın olarak kullanılan bir risk yönetim stratejisidir.
Portföy spot piyasa ürünleri kullanılarak da sigortalanabilmektedir; ancak sağladığı işlem ve …