  This paper challenges the use of stocks in portfolio construction, instead we
demonstrate that Asian derivatives, straddles, or baskets could be more
convenient substitutes. Our results are obtained under the assumptions of the
Black--Scholes--Merton setting, uncovering a hidden benefit of derivatives that
complements their well-known gains for hedging, risk management, and to
increase utility in market incompleteness. The new insights are also
transferable to more advanced stochastic settings. The analysis relies on the
infinite number of optimal choices of derivatives for a maximized expected
utility (EUT) agent; we propose risk exposure minimization as an additional
optimization criterion inspired by regulations. Working with two assets, for
simplicity, we demonstrate that only two derivatives are needed to maximize
utility while minimizing risky exposure. In a comparison among one-asset
options, e.g. American, European, Asian, Calls and Puts, we demonstrate that
the deepest out-of-the-money Asian products available are the best choices to
minimize exposure. We also explore optimal selections among straddles, which
are better practical choices than out-of-the-money Calls and Puts due to
liquidity and rebalancing needs. The optimality of multi-asset derivatives is
also considered, establishing that a basket option could be a better choice
than one-asset Asian call/put in many realistic situations.
