TY  - JOUR
AU  - Balbás De La Corte, Alejandro
AU  - Balbás Aparicio, Beatriz
AU  - Balbás Aparicio, Raquel
PY  - 2025
DO  - 10.3390/risks13010016
SN  - 2227-9091
UR  - https://hdl.handle.net/20.500.14352/129196
T2  - Risks
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...
LA  - eng
M2  - 16
PB  - MDPI
KW  - multi-asset derivative
KW  - downside risk measure
KW  - unbounded market price of risk
KW  - golden strategy
TI  - Optimal Design of Multi-Asset Options
TY  - journal article
VL  - 13
ER  -