All Questions
Tagged with option-strategies portfolio-management
9 questions
0
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Strategic Asset Allocation and Multi-Asset Class Option Based Tail Risk Hedging
If a Strategic Asset Allocation is defined as an asset allocation to weather all investment environments and one which should be employed in the absence of any market views, it would appear that the ...
- 6,672
5
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1k
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How to implement an “Active Long Volatility” Strategy?
The research paper "The Allegory of the Hawk and Serpent" describes an asset allocation referred to as the "Dragon" Portfolio, which allocates 18% to "active long volatility&...
0
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1
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155
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Active vol strategy within a portfolio
Suppose I'd like to have 10 % of my portfolio allocated to "long volatility" by rolling straddles .
Obviously going all in on one trade implies significant risk of losing all the money. Does anyone ...
- 317
4
votes
1
answer
131
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How to model/price the risk of Covid-19 and other pandemics
How would you model and price the risk of Covid-19 pandemic? These large cost low probability events with very little history seems to pose a particular challenge when quantitatively modeling and ...
- 6,672
1
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0
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239
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Correct beta weighted delta options formula?
Is this the correct formula for beta weighted delta: http://www.nishatrades.com/blog/beta-weighted-delta
I've seen this What is the formula for beta weighted delta and gamma? but they seem to be ...
- 167
6
votes
2
answers
331
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What is the strategy for this piece of information
Heavy Math background, very light finance background:
Suppose I have a stock $S$ whose price is measured by the market once on times $t_0$ $t_1$ $t_2$.
Now the market has some opinion for how the ...
- 179
2
votes
1
answer
107
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What instruments help me receive a premium?
Apart from selling options , what other instruments can I trade(sell) to collect a premium ? The main problem that I face is as follows :
I am buying a Call option which I would like to fund by ...
2
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1
answer
2k
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Implementation of an option tail-hedging strategy
This question directly refers to the paper "Capital Asset Pricing Mistakes: The Consistent Opportunities in Tail Hedged Equities", http://www.universa.net/Universa_SpitznagelResearch_201501.pdf.
Very ...
- 345
0
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1
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306
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Portfolio with zero or negative initial cost
Let's say I have formulated an integer linear programming (ILP) problem with the objective function $$F(X)=V(T,X)-C(t,X),$$ where $V(T,X)$ is the payoff of portfolio, and $C(t,X)$ is the initial cost ...
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