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

DOI10.1007/s10479-013-1461-xzbMath1325.90099OpenAlexW2055245189MaRDI QIDQ889540

Masoud Mahootchi, Saeed Marzban, 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

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

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

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