3 papers
q-fin.PM2026
Sharpe Ratio and Return-VaR Ratio Maximization for Option Portfolios with Skew-Elliptical Underlying Returns
Kyle Sung, Traian A. Pirvu
We provide a formulation for optimal option portfolios under Sharpe Ratio maximization when the underlying returns follow a skew-elliptical t-distribution. This departs from the tr…
q-fin.PM2026
Optimal Option Portfolios for Skew-Elliptical t Returns
Kyle Sung, Traian A. Pirvu
This paper explores option portfolio optimization when the underlying returns are skew-elliptical t-distributed. We use the variance and value at risk (VaR) to measure portfolio ri…
math.OC2026
Optimal Investment with Switching Preferences
Yu-Jui Huang, Liviu Ignat, Traian A. Pirvu +1
Major life events can significantly increase individuals' risk aversion over a sustained period of time, as empirical studies reveal. How such an event-triggered shift of risk pref…