Options strategies with the risk adjustment

Pei-wang Gao

European Journal of Operational Research, 2009, vol. 192, issue 3, 975-980

Abstract: This paper proposes a general linear programming model with risk bounds on all the Greek letters for the portfolio and then performs a new post-optimality analysis for the model. In the analysis, the risks can be adjusted by the investor to suit the needs of the market change. The applications of the model and the method to Ericsson's options show that they are of practical interests.

Keywords: Options; Portfolio; Risk; Linear; programming (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:192:y:2009:i:3:p:975-980

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