The Calculation of Minimum Margin

Andrew Rudd and Mark Schroeder
Additional contact information
Andrew Rudd: Barra, Berkeley, California
Mark Schroeder: Cornell University

Management Science, 1982, vol. 28, issue 12, 1368-1379

Abstract: The calculation of margin for investor's option accounts is a complex and costly problem for brokerage houses. The existing procedures usually involve a heuristic requiring sequential computations. These are shown to be inefficient and suboptimal. A simple transportation formulation is presented which permits a direct computation of minimum margin and shows considerable savings when compared with existing heuristic procedures.

Keywords: investment management; finance; options (search for similar items in EconPapers)
Date: 1982
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.28.12.1368 (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:inm:ormnsc:v:28:y:1982:i:12:p:1368-1379

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().