Systemic Risk of Optioned Portfolios: Controllability and Optimization
Systemic Risk of Optioned Portfolios: Controllability and Optimization
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Ithaca: Cornell University Library, arXiv.org
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English
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Ithaca: Cornell University Library, arXiv.org
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We investigate the portfolio selection problem against the systemic risk which is measured by CoVaR. We first demonstrate that the systemic risk of pure stock portfolios is essentially uncontrollable due to the contagion effect and the seesaw effect. Next, we prove that it is necessary and sufficient to introduce options to make the systemic risk c...
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Systemic Risk of Optioned Portfolios: Controllability and Optimization
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TN_cdi_proquest_journals_2713854425
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2713854425
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2331-8422
