Dynamic option-based strategies under downside loss aversion

被引：4
|
作者：
Jalal, Amine [1 ,2 ]
机构：
[1] Qatar Holding LLC, Doha, Qatar
[2] Qatar Investment Author, Doha, Qatar
来源：
JOURNAL OF RISK | 2013年 / 15卷 / 03期
关键词：
POLICIES;
D O I：
10.21314/JOR.2013.259
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Dynamic option-based investment strategies are derived and discussed for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market is characterized by stochastic volatility and jumps. The expected shortfall is used for illustration purposes and the role of each relevant derivative security is analyzed.
引用
收藏
页码：69 / 85
页数：17
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