Model for Constructing an Options Portfolio with a Certain Payoff Function

Margarita E. Fatyanova and Mikhail E. Semenov

Papers from arXiv.org

Abstract: The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer linear programming problem and includes an objective payoff function and a system of constraints. In order to demonstrate the performance of the proposed model, we have constructed the portfolio on the European call and put options of Taiwan Futures Exchange. The optimum solution was obtained using the MATLAB software. Our approach is quite general and has the potential to design options portfolios on financial markets.

Date: 2017-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1707.02087 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1707.02087

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().