Yuehuan He
Yuehuan He
Home
Publications
Experience
Posts
Other
Light
Dark
Automatic
Portfolio Optimization
Optimization-based tail risk hedging of the S&P 500 index
In this paper, we present a mixed risk-return optimization framework for selecting long put option positions for hedging the tail risk of investments in the S&P 500 index.
Yuehuan He
,
Roy Kwon
DOI
Optimization-based Tail Risk Hedging
This thesis presents a mixed risk-return optimization framework for selecting long put option positions to hedge the tail risk of financial portfolios.
Yuehuan He
PDF
TSpace
Cite
×