---
title: Derivatives in Portfolio Optimization with Affine GARCH Models
url: https://www.ml-quant.com/papers/repec/spr-decfin-v-47-y-2024-i-1-d-10-1007-s10203-024-00433-5/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00433-5
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10203-024-00433-5%3Bh%3Drepec%3Aspr%3Adecfin%3Av%3A47%3Ay%3A2024%3Ai%3A1%3Ad%3A10.1007_s10203-024-00433-5
featured: 2024-07-17
citations: unknown
topic: Derivatives & Volatility
---


# Derivatives in Portfolio Optimization with Affine GARCH Models

The article indicates that investors who include a derivative in their portfolio perform better than those who only invest in stocks and bank accounts, potentially avoiding up to 7% annual losses.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Flink.springer.com%2F10.1007%2Fs10203-024-00433-5%3Bh%3Drepec%3Aspr%3Adecfin%3Av%3A47%3Ay%3A2024%3Ai%3A1%3Ad%3A10.1007_s10203-024-00433-5
- Identifier: RePEc:spr:decfin:v:47:y:2024:i:1:d:10.1007_s10203-024-00433-5
- Released: 2024-07-17
- First featured: Quant Letter No. 57 (2024-07-17): https://www.ml-quant.com/issues/2024-07-17/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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