2026-06-27T10:19:54Zhttps://docta.ucm.es/rest/oai/request

oai:docta.ucm.es:20.500.14352/1291962025-12-18T00:45:51Zcom_20.500.14352_14col_20.500.14352_15

Balbás De La Corte, Alejandro Balbás Aparicio, Beatriz Balbás Aparicio, Raquel 2025-12-17T09:44:42Z 2025-12-17T09:44:42Z 2025-01-16 Balbás, A., B. Balbás and R. Balbás, (2025). Optimal Design of Multi-Asset Options. Risks 13(1), 16. 2227-9091 10.3390/risks13010016 https://hdl.handle.net/20.500.14352/129196 https://doi.org/10.3390/risks13010016 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. eng http://creativecommons.org/licenses/by-nc-nd/4.0/ open access Attribution-NonCommercial-NoDerivatives 4.0 International Optimal Design of Multi-Asset Options journal article