@InProceedings{maasar_et_al:OASIcs.SCOR.2016.9, author = {Maasar, Mohd A. and Roman, Diana and Date, Paresh}, title = {{Portfolio Optimisation Using Risky Assets with Options as Derivative Insurance}}, booktitle = {5th Student Conference on Operational Research (SCOR 2016)}, pages = {9:1--9:17}, series = {Open Access Series in Informatics (OASIcs)}, ISBN = {978-3-95977-004-0}, ISSN = {2190-6807}, year = {2016}, volume = {50}, editor = {Hardy, Bradley and Qazi, Abroon and Ravizza, Stefan}, publisher = {Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik}, address = {Dagstuhl, Germany}, URL = {https://drops.dagstuhl.de/entities/document/10.4230/OASIcs.SCOR.2016.9}, URN = {urn:nbn:de:0030-drops-65216}, doi = {10.4230/OASIcs.SCOR.2016.9}, annote = {Keywords: Portfolio optimisation, portfolio insurance, option pricing, mean-CVaR} }
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