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- W2113232610 abstract "We describe an optimization model to evaluate the portfolio performance in the option's market. Hedgers, managers and investors, in agreement with Markovitz's theory, aimed at creating a portfolio made up by assets with negative correlation, so as to have a portfolio not linked to the economic cycle. The optimization portfolio problem with contingent claims allows to create wealth also in financial crisis without using short selling, since option returns show a strong negative correlation. The basic idea of this work is using only trading price options, in particular those written on principal stock Indexes, in order to create a diversified portfolio. Thus we propose an ex post analysis over a two-years period using different international portfolio strategies on the derivative market." @default.
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- W2113232610 title "Portfolio selection with options" @default.
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