Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo

被引：2

作者：

Yu, Xing ^{[1
]}

机构：

[1] Inst Hunan Loudi, Dept Math & Appl Math, Dept Humanities & Sci & Technol, Loudi 417000, Peoples R China

来源：

JOURNAL OF COMPUTERS | 2013年 / 8卷 / 06期

关键词：

Robust portfolio optimization; VE constraint; Monte Carlo;

D O I：

10.4304/jcp.8.6.1580-1586

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

this paper proposes a robust portfolio optimization programming model with options. Under constrains of variance efficiency and shortfall preference structure, we derive optioned portfolios with the maximum expected return of robust counterpart. A numerical example using Monte Carlo illustrates some of the features and applications of this model.

引用

页码：1580 / 1586

页数：7

共 50 条

[1] Portfolio Optimization under Correlation Constraint
Maheshwari, Aditya
Pirvu, Traian A.
RISKS, 2020, 8 (01)
[2] A Monte-Carlo method for portfolio optimization under partially observed stochastic volatility
Desai, R
Lele, T
Viens, F
2003 IEEE INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING, PROCEEDINGS, 2003, : 257 - 263
[3] A study of robust portfolio optimization with European options using polyhedral uncertainty sets
Ashrafi, Hedieh
Thiele, Aurelie C.
OPERATIONS RESEARCH PERSPECTIVES, 2021, 8
[4] Portfolio optimization under shortfall risk constraint
Janke, Oliver
Li, Qinghua
OPTIMIZATION, 2016, 65 (09) : 1733 - 1755
[5] Portfolio optimization under transfer coefficient constraint
Yamamoto R.
Ishibashi T.
Konno H.
Journal of Asset Management, 2012, 13 (1) : 51 - 57
[6] PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT
Bouveret, Geraldine
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2018, 21 (07)
[7] Dynamic portfolio optimization under value at risk constraint
Wang, Xiuguo
PROCEEDINGS OF FIRST INTERNATIONAL CONFERENCE OF MODELLING AND SIMULATION, VOL IV: MODELLING AND SIMULATION IN BUSINESS, MANAGEMENT, ECONOMIC AND FINANCE, 2008, : 336 - 341
[8] Portfolio optimization under the Value-at-Risk constraint
Pirvu, Traian A.
QUANTITATIVE FINANCE, 2007, 7 (02) : 125 - 136
[9] Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method
Van Barel, Andreas
Vandewalle, Stefan
SIAM-ASA JOURNAL ON UNCERTAINTY QUANTIFICATION, 2019, 7 (01): : 174 - 202
[10] Robust Portfolio Optimization Using Pseudodistances
Toma, Aida
Leoni-Aubin, Samuela
PLOS ONE, 2015, 10 (10):

← 1 2 3 4 5 →