Optioned Portfolio Selection: Models and Analysis
نویسندگان
چکیده
We study in this paper the portfolio selection problem with a stock index and European style options on the index. A refined mean-variance methodology is adopted in the study. Single-stage and two-stage investment models are studied and solved. In the later case a scenario tree and stochastic programming formulation are used. Explicit forms of the optimal portfolio and its corresponding efficient frontier are derived, which reveal rich structures of the optimal payoffs. Finally, illustrative numerical examples are presented.
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