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An LP approach to option portfolio selection
Rendleman, Richard J. - In: Advances in futures and options research : a research annual 8 (1995), pp. 31-52
Persistent link: https://www.econbiz.de/10001211318
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A model for designing callable bonds and its solution using tabu search
Consiglio, Andrea - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1445-1470
Persistent link: https://www.econbiz.de/10001222037
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Options Portfolio Selection
Guasoni, Paolo - 2020
We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio...
Persistent link: https://www.econbiz.de/10012853391
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A stochastic programming model with decision dependent uncertainty realizations for technology portfolio management
Solak, Senay; Clarke, John-Paul; Johnson, Ellis; … - In: Operations research proceedings 2007 : selected papers …, (pp. 75-80). 2008
Persistent link: https://www.econbiz.de/10003716095
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Some tractable instances of interval data minmax regret problems
Escoffier, Bruno; Monnot, Jérôme; Spanjaard, Olivier - In: Operations research letters 36 (2008) 4, pp. 424-429
Persistent link: https://www.econbiz.de/10003786695
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Langfristige Lieferkontrakte bei unsicherer Nachfrage und risikobehafteten kurzfristigen Beschaffungsoptionen
Inderfurth, Karl; Neidlein, Ivo - In: Quantitative Methoden der Logistik und des Supply Chain …, (pp. 291-318). 2006
Persistent link: https://www.econbiz.de/10003352297
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Stochastic submodular maximization
Asadpour, Arash; Nazerzadeh, Hamid; Saberi, Amin - In: Internet and network economics : 4th international …, (pp. 477-489). 2008
Persistent link: https://www.econbiz.de/10003792825
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A relative robust optimization approach for full factorial scenario design of data uncertainty and ambiguity
Assavapokee, Tiravat; Realff, Matthew J.; Ammons, Jane C. - In: Optimization and logistics challenges in the enterprise, (pp. 145-174). 2009
Persistent link: https://www.econbiz.de/10003860510
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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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The value of perfect information as a risk measure
Pflug, Georg - In: Dynamic stochastic optimization : [this volume includes …, (pp. 275-291). 2004
Persistent link: https://www.econbiz.de/10003488178