Reference : Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario ...
Scientific journals : Article
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/2268/76967
Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach
English
Schyns, Michael mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > UER Opérations : Informatique de gestion >]
Crama, Yves mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Recherche opérationnelle et gestion de la production >]
Hübner, Georges mailto [Université de Liège - ULg > HEC-Ecole de gestion de l'ULg : UER > Gestion financière >]
2010
Annals of Operations Research
Springer Science & Business Media B.V.
181
683-708
Yes (verified by ORBi)
International
0254-5330
[en] Value-at-Risk ; Options ; Operations Research
[en] This paper introduces a multiperiod model for the optimal selection of a financial portfolio of options linked to a single index. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. We rely on scenarios to represent future security prices. The model contains several interesting features, like the consideration of transaction costs, bid-ask spreads, arbitrage-free option pricing, and the possibility to rebalance the portfolio with options introduced at the start of each period. The resulting mixed integer programming model is applied to realistic test instances involving options on the S&P500 index. In spite of the large size and of the numerical difficulty of this model, near-optimal solutions can be computed by a standard branch-and-cut solver or by a specialized heuristic. The structure and the financial features of the selected portfolios are also investigated.
QuantOM
Researchers ; Professionals
http://hdl.handle.net/2268/76967
10.1007/s10479-009-0636-y
The original publication is available at www.springerlink.com

File(s) associated to this reference

Fulltext file(s):

FileCommentaryVersionSizeAccess
Restricted access
VAR_Sept09.pdfThe original publication is available at www.springerlink.comAuthor postprint289.91 kBRequest copy

Bookmark and Share SFX Query

All documents in ORBi are protected by a user license.