Tracking Models for Optioned Portfolio Selection

被引：1

作者：

Liang, Jianfeng ^{[1
]}

机构：

[1] Sun Yat Sen Univ, Lingnan Univ Coll, Dept Risk Management & Insurance, Guangzhou 510275, Guangdong, Peoples R China

来源：

CUTTING-EDGE RESEARCH TOPICS ON MULTIPLE CRITERIA DECISION MAKING, PROCEEDINGS | 2009年 / 35卷

关键词：

optioned portfolio selection; multistage tracking model; scenario tree; stochastic programming; TACTICAL ASSET ALLOCATION; ERROR; OPTIMIZATION;

D O I：

10.1007/978-3-642-02298-2_108

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we study a target tracking problem for the portfolio selection involving options. In particular, the portfolio in question contains a stock index and some European style options on the index. A refined tracking-error-variance methodology is adopted to formulate this problem as a multistage optimization model. We derive the optimal solutions based on stochastic programming and optimality conditions. Attention is paid to the Structure of the optimal payoff function, which is shown to possess rich properties.

引用

页码：729 / 736

页数：8

共 12 条

[1] Tracking error and tactical asset allocation [J].