Optimal selection of a portfolio of options under value-at-risk constraints: a scenario approach

DOI10.1007/S10479-009-0636-YMaRDI QIDQ2430628zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 8 April 2011

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

Full work available at URL https://cris.maastrichtuniversity.nl/ws/files/6360396/2010_SchynsCramaH_bner_AOR.pdf

Mathematics Subject Classification ID

Mixed integer programming (90C11) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Coherent measures of risk
• Discretized reality and spurious profits in stochastic programming models for asset/liability management
• Duality and martingales: a stochastic programming perspective on contingent claims
• Financial asset-pricing theory and stochastic programming models for asset/liability management: A synthesis
• scientific article; zbMATH DE number 3700586 (Why is no real title available?)
• scientific article; zbMATH DE number 1175944 (Why is no real title available?)
• scientific article; zbMATH DE number 1836444 (Why is no real title available?)
• Optimal portfolios under a value-at-risk constraint
• Scenario generation and stochastic programming models for asset liability management
• Scenario optimization
• Simulation and optimization approaches to scenario tree generation
• The pricing of options on an interval binomial tree. An application to the DAX-index option market

Cited in

(13)

• Options strategies with the risk adjustment
• Risk management with multiple VaR constraints
• Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
• Optimization of covered calls under uncertainty
• Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
• Multistage portfolio optimization with stocks and options
• OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
• scientific article; zbMATH DE number 1944680 (Why is no real title available?)
• Technical note: Options portfolio selection
• Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts
• Option portfolio management as a chance constrained problem
• Integer programs for margining option portfolios by option spreads with more than four legs
• Back-testing the performance of an actively managed option portfolio at the Swedish stock market, 1990-1999

Describes a project that uses

Uses Software

• RiskMetrics

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