Volume 8 Number 6 (Jun. 2013)
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JCP 2013 Vol.8(6): 1580-1586 ISSN: 1796-203X
doi: 10.4304/jcp.8.6.1580-1586

Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo

Xing Yu
Department of Mathematics & Applied Mathematics Humanities & Science and Technology Institute of Hunan Loudi, 417000, P.R. China

Abstract—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.

Index Terms—Robust portfolio optimization; VE constraint; Monte Carlo

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Cite: Xing Yu, " Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo," Journal of Computers vol. 8, no. 6, pp. 1580-1586, 2013.

General Information

ISSN: 1796-203X
Abbreviated Title: J.Comput.
Frequency: Monthly
Editor-in-Chief: Prof. Liansheng Tan
Executive Editor: Ms. Nina Lee
Abstracting/ Indexing: DBLP, EBSCO,  ProQuest, INSPEC, ULRICH's Periodicals Directory, WorldCat, CNKI,etc
E-mail: jcp@iap.org
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