Risk-aware Trading Portfolio Optimization
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- Faias, José Afonso & Santa-Clara, Pedro, 2017. "Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(1), pages 277-303, February.
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- Manfred Gilli & Evis Këllezi & Hilda Hysi, 2006. "A Data-Driven Optimization Heuristic for Downside Risk Minimization," Swiss Finance Institute Research Paper Series 06-02, Swiss Finance Institute.
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