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Optimization of a portfolio of options under Value-at-Risk constraints: a scenario approach
Company: University of Liege
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: April
Pages: 37
Download Count: 18
View Count: 1988
Comment Num: 0
Language: English
Who Can Read: Free
Date: 4-3-2010
Publisher: Administrator
Summary
The main purpose of this work is to develop a multiperiod model for the
optimization of a portfolio of options linked to a single financial index, to demonstrate the computational feasibility of the approach, and to investigate some of the properties of the resulting portfolios.
The optimization model attempts to maximize the expected return of
the portfolio under constraints limiting its Value-at-Risk. Future states of the world are flexibly modelled through a multiperiod scenario approach. To instantiate the tree of scenarios, we follow a general approach proposed by Schyns, Hübner and Crama [2005], based on the extraction of implied information from the set of options available on the market at the time of the investment...
This document is published as "Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach" in Annals of Operations Research (volume 181, number 1), December 2010, pp. 683-708.
http://dx.doi.org/10.1007/s10479-009-0636-
Author(s)
Crama, Yves Sign in to follow this author
Hubner, George Sign in to follow this author
Schyns, Michael Sign in to follow this author
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