会议专题

Tracking error analysis of optioned portfolio optimization

In this paper, a target tracking problem for the portfolio selection involving options is studied. In particular, the portfolio in question contains a stock index and some European style options on the index. And the tracking models with fixed or random target values are investigated, respectively. The tracking-error-variance (TEV) methodology is adopted in our approach to formulate the problems, and the optimal solutions are derived based on optimality conditions. Attention is paid to the structures of the optimal payoffs in both cases, which are shown to possess rich properties. Throughout the paper, numerical examples are presented to illustrate and validate our results.

optioned portfolio optimization tracking model random target value

Jianfeng Liang Jingjun Liu

Lingnan (University) College, Sun Yat-sen University, Guangzhou, 510275, China

国际会议

The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

北京

英文

241-245

2009-07-24(万方平台首次上网日期,不代表论文的发表时间)