JCP 2013 Vol.8(6): 1580-1586 ISSN: 1796-203X
doi: 10.4304/jcp.8.6.1580-1586
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
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
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: Bimonthly
Abbreviated Title: J.Comput.
Frequency: Bimonthly
Editor-in-Chief: Prof. Liansheng Tan
Executive Editor: Ms. Nina Lee
Abstracting/ Indexing: DBLP, EBSCO, ProQuest, INSPEC, ULRICH's Periodicals Directory, WorldCat,etc
E-mail: jcp@iap.org
-
Nov 14, 2019 News!
Vol 14, No 11 has been published with online version [Click]
-
Mar 20, 2020 News!
Vol 15, No 2 has been published with online version [Click]
-
Dec 16, 2019 News!
Vol 14, No 12 has been published with online version [Click]
-
Sep 16, 2019 News!
Vol 14, No 9 has been published with online version [Click]
-
Aug 16, 2019 News!
Vol 14, No 8 has been published with online version [Click]
- Read more>>