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- W3162924252 abstract "Convexity is discussed in a discrete state setting incorporating tradeable risk factors or asset classes. The framework is particularly well suited for stress markets. Portfolio construction, factor return and risk analysis, and risk management are discussed. Due to the dislocation, tradeable factors can be used to construct attractive strangle profiles in each state while maximizing global convexity. The approach allows for a qualitative overlay of views about factor performance." @default.
- W3162924252 created "2021-05-24" @default.
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- W3162924252 date "2020-01-01" @default.
- W3162924252 modified "2023-09-23" @default.
- W3162924252 title "Constructing Strangles Using Linear Tradeable Factors with Applications to Stress Markets" @default.
- W3162924252 doi "https://doi.org/10.2139/ssrn.3565482" @default.
- W3162924252 hasPublicationYear "2020" @default.
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