Sharpe Ratio and Return-VaR Ratio Maximization for Option Portfolios with Skew-Elliptical t Underlying Returns

By Kyle Sung, Traian A. Pirvu

Published 2026-06-15

Everscope rating

1656.5

Relevance to quantitative trading

8 / 10

Implementation complexity

6 / 10

Reproducibility

3 / 5

About this paper

Methodology: Analytical Closed-Form Portfolio Optimization via Lagrange Multipliers. Problem types: Portfolio Optimization, Risk Management, Optimization.

arXiv:2606.17032 · Paper rankings

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