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Title: Portfolio strategies involving options and systemic risk alarm Authors:  Tomas Tichy - VSB-TU Ostrava (Czech Republic) [presenting]
Abstract: Portfolio selection strategies involving stocks and options are further developed. We generally assume that the returns follow Markov processes that are approximated with proper Markov Chains. We consider investors with various risk attitude or utility function and apply complex rules utilizing systemic risk alarm identification. As an alternative, an alarm based on fuzzy logic and fuzzy natural logic is considered. Empirical results are based on examination of the US market.