Developing a multi-period robust optimization model considering American style options

DOI10.1007/S10479-013-1461-XMaRDI QIDQ889540zbMATH OpenOpenAlexFDO

Authors Saeed Marzban, M. Mahootchi, Alireza Arshadi Khamseh

Publication date 9 November 2015

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-013-1461-x

zbMATH Keywords

robust optimizationportfolio insuranceoption contractsmulti-period portfolio optimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Minimax problems in mathematical programming (90C47)

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• scientific article; zbMATH DE number 1489803

Cites work

• scientific article; zbMATH DE number 1489803 (Why is no real title available?)
• Hedging with options and cardinality constraints in multi‐period portfolio management systems
• Multi-stage stochastic linear programs for portfolio optimization
• Robust One-Period Option Hedging
• Robust Portfolio Selection Problems
• Robust Solutions to Least-Squares Problems with Uncertain Data
• Robust convex optimization
• Robust linear optimization under general norms.
• Robust multiperiod portfolio management in the presence of transaction costs
• Robust portfolio asset allocation and risk measures
• Robust portfolio optimization with derivative insurance guarantees
• Robust portfolio selection based on a joint ellipsoidal uncertainty set
• Robust portfolio selection based on asymmetric measures of variability of stock returns
• Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
• Robust solutions of uncertain linear programs
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• The pricing of options and corporate liabilities

Cited in

(8)

• Portfolio optimization with transaction costs: a two-period mean-variance model
• Recent advancements in robust optimization for investment management
• Option implied ambiguity and its information content: evidence from the subprime crisis
• The impact of customer returns and bidirectional option contract on refund price and order decisions
• Robust portfolio optimization: a categorized bibliographic review
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
• A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
• Option pricing and coordination in the fresh produce supply chain with portfolio contracts

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