Portfolio Optimization Model with and without Options under Additional Constraints

T. Khodamoradi, M. Salahi and Ali Reza Najafi

Mathematical Problems in Engineering, 2020, vol. 2020, 1-10

Abstract:

In this paper, first, we study mean-absolute deviation (MAD) portfolio optimization model with cardinality constraints, short selling, and risk-neutral interest rate. Then, in order to insure the investment against unfavorable outcomes, an extension of MAD model that includes options is considered. Moreover, since the data in financial models usually involve uncertainties, we apply robust optimization to the MAD model with options. Finally, a data set of S&P index is used to compare the effectiveness of options in the models in terms of returns and Sharpe ratios.

Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2020/8862435.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2020/8862435.xml (text/xml)

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:hin:jnlmpe:8862435

DOI: 10.1155/2020/8862435

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().