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

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