RT Journal Article
T1 Optimal Design of Multi-Asset Options
A1 Balbás De La Corte, Alejandro
A1 Balbás Aparicio, Beatriz
A1 Balbás Aparicio, Raquel
AB The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk (henceforth “golden strategy”) has only been studied if all the involved derivatives have the same underlying asset. This paper also considers multiasset derivatives, gives practical methods to build multi-asset golden strategies for both the expected shortfall and the expectile risk measure, and shows that the use of multi-asset options makes the performance of the obtained golden strategy more efficient. Practical rules are given under the Black–Scholes–Merton multi-dimensional pricing model.
PB MDPI
SN 2227-9091
YR 2025
FD 2025-01-16
LK https://hdl.handle.net/20.500.14352/129196
UL https://hdl.handle.net/20.500.14352/129196
LA eng
NO Balbás, A., B. Balbás and R. Balbás, (2025). Optimal Design of Multi-Asset Options. Risks 13(1), 16.
DS Docta Complutense
RD 19 mar 2026