Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo
نویسنده
چکیده
this paper proposes a robust portfolio optimization programming model with options. Under constrains of variance efficiency and shortfall preference structure, we derive optioned portfolios with the maximum expected return of robust counterpart. A numerical example using Monte Carlo illustrates some of the features and applications of this model.
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ورودعنوان ژورنال:
- JCP
دوره 8 شماره
صفحات -
تاریخ انتشار 2013