@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}
}