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dc.contributor.advisorRoman, D-
dc.contributor.advisorDate, P-
dc.contributor.authorMaasar, Mohd Azdi-
dc.descriptionThis thesis was submitted for the award of Master of Philosophy and was awarded by Brunel University Londonen_US
dc.description.abstractWe consider mean-risk portfolio optimisation models, with risk quanti ed by symmetric measures (variance) as well as downside or tail measures (Lower Partial Moments, Conditional Value at Risk). A framework for including index options in the universe of assets, in addition to stocks, is provided. The exercise of index options is settled in cash, making this implementable with a variety of strike prices and maturities. We use a dataset with stocks from the FTSE 100 and index options on the FTSE100. Numerical results show that, for low to medium risk portfolios, the addition of an index put further reduces the risk to a considerable extent, particularly in the case of mean-CVaR e cient portfolios, where the left tail is dramatically improved. For higher risk portfolios, the inclusion of an index call improves the right tail of the portfolio distribution, creating thus the opportunity for considerably higher returns.en_US
dc.publisherBrunel University Londonen_US
dc.subjectPortfolio optimisationen_US
dc.subjectIndex optionsen_US
dc.titleRisk minimisation using options and risky assetsen_US
Appears in Collections:Dept of Mathematics Theses
Mathematical Sciences

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