Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo
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| Title | Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo |
| Authors | |
| 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. |
| Publisher | ACADEMY PUBLISHER |
| Date | 2013-06-01 |
| Source | Journal of Computers Vol 8, No 6 (2013) |
| Rights | Copyright © ACADEMY PUBLISHER - All Rights Reserved.To request permission, please check out URL: http://www.academypublisher.com/copyrightpermission.html. |