Portfolio Optimization Model with and without Options under Additional Constraints
Joint Authors
Salahi, Maziar
Khodamoradi, T.
Najafi, Ali Reza
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-11-26
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Khodamoradi, T.& Salahi, Maziar& Najafi, Ali Reza. 2020. Portfolio Optimization Model with and without Options under Additional Constraints. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1201764
Modern Language Association (MLA)
Khodamoradi, T.…[et al.]. Portfolio Optimization Model with and without Options under Additional Constraints. Mathematical Problems in Engineering No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1201764
American Medical Association (AMA)
Khodamoradi, T.& Salahi, Maziar& Najafi, Ali Reza. Portfolio Optimization Model with and without Options under Additional Constraints. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1201764
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1201764