Developing a multi-period robust optimization model considering American style options

Saeed Marzban, Masoud Mahootchi () and Alireza Arshadi Khamseh

Annals of Operations Research, 2015, vol. 233, issue 1, 305-320

Abstract: The main goal in this study is to introduce a new linear model for multi-period portfolio optimization. The proposed optimization model can take both stocks and their respective American style options into consideration. Moreover, to hedge the resulting portfolio, the robust counterpart of this model is developed in which the level of robustness can be determined using the length and the type of the uncertainty set. The experiments results which are obtained based on the data of Dow Jones stock market verify the performance of the proposed models compared to what has been achieved using Bertsimas et al.’s optimization model. Copyright Springer Science+Business Media New York 2015

Keywords: Multi-period portfolio optimization; Option contracts; Robust optimization; Portfolio insurance (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10479-013-1461-x (text/html)
Access to full text is restricted to subscribers.

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:spr:annopr:v:233:y:2015:i:1:p:305-320:10.1007/s10479-013-1461-x

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-013-1461-x

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().