RT Journal Article SR Electronic T1 Semivariance and Optioned Black–Litterman
Portfolios JF The Journal of Investing FD Institutional Investor Journals SP 92 OP 98 DO 10.3905/joi.2012.21.4.092 VO 21 IS 4 A1 Suneal K. Chaudhary YR 2012 UL https://pm-research.com/content/21/4/92.abstract 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