PT  - JOURNAL ARTICLE
AU  - Suneal K. Chaudhary
TI  - Semivariance and Optioned Black–Litterman<br/>Portfolios
AID  - 10.3905/joi.2012.21.4.092
DP  - 2012 Nov 30
TA  - The Journal of Investing
PG  - 92--98
VI  - 21
IP  - 4
4099  - https://pm-research.com/content/21/4/92.short
4100  - https://pm-research.com/content/21/4/92.full
AB  - We present a portfolio construction technique which can incorporate options into a portfolio, measure and manage risk more effectively than classical techniques, and deliver the attractive diversification and robustness of the Black-Litterman technique. Our technique finds option strategies which are fundamentally divergent from those that the classical portfolio techniques calculate. Our strategies can dominate the classical mean-variance portfolios, both in normal situations and in an unexpected downturn.TOPICS: Portfolio construction, options, VAR and use of alternative risk measures of trading risk