2017/07/07 by Margarita E. Fatyanova, Fatyanova, Margarita E., Mikhail Semenov +2
Decision Sciences · Economics, Econometrics and Finance · Engineering · #Capital Investment and Risk Analysis #FOS: Economics and business #Portfolio Management (q-fin.PM) #Pricing of Securities (q-fin.PR) #Reservoir Engineering and Simulation Methods #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #q-fin.PM #q-fin.PR #q-fin.RM
paper · pdf · doi:10.48550/arxiv.1707.02087
10 pages, 2 figures
arxiv created 2017/07/07 · openalex publication_date 2017/07/07 · arxiv updated 2017/07/10 · openalex created_date 2022/10/05 · openalex updated_date 2026/07/28
The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer linear programming problem and includes an objective payoff function and a system of constraints. In order to demonstrate the performance of the proposed model, we have constructed the portfolio on the European call and put options of Taiwan Futures Exchange. The optimum solution was obtained using the MATLAB software. Our approach is quite general and has the potential to design options portfolios on financial markets.