文章基本信息

标题：Robust Portfolio Optimization with Options under VE Constraint using Monte Carlo
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作者：Yu, Xing
期刊名称：Journal of Computers
印刷版ISSN：1796-203X
出版年度：2013
卷号：8
期号：6
页码：1580-1586
DOI：10.4304/jcp.8.6.1580-1586
语种：English
出版社：Academy Publisher
摘要：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.
关键词：Robust portfolio optimization;VE constraint;Monte Carlo