Portfolio Analysis and Option Strategies

Cheng-Few Lee, John Lee, Jow-Ran Chang and Tzu Tai
Additional contact information
Cheng-Few Lee: Rutgers University, Department of Finance
John Lee: Center for PBBEF Research
Jow-Ran Chang: National Tsing Hua University, Department of Quantitative Finance
Tzu Tai: Mezocliq, LLC

Chapter Chapter 29 in Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses, 2016, pp 919-946 from Springer

Abstract: Abstract The main purposes of this chapter are to show how Excel programs can be used to perform portfolio selection decisions and to construct option strategies. In Sect. 29.2, we demonstrate how Microsoft Excel can be used to inverse the matrix. In Sect. 29.3, we discuss how Excel programs can be used to estimate the Markowitz portfolio models. In Sect. 29.4, we discuss alternative option strategies. In Sect. 29.5, we summarize the results of this chapter.

Keywords: Portfolio analysis; Option strategies; Substitution method; Simultaneous equation; Cramer’s rule; Matrix method; Cofactor; Determinant; Markowitz model; Lagrangian constraint; Matrix inversion; Minimum variance model; Long straddle; Option strategies; Short straddle; Long vertical spread; Short vertical spread; Prospective put; Conversed call; Collar (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-38867-0_29

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DOI: 10.1007/978-3-319-38867-0_29

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