基于多面体不确定性集的欧式期权稳健投资组合优化研究

IF 3.7 4区 管理学 Q2 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Hedieh Ashrafi, Aurélie C. Thiele
{"title":"基于多面体不确定性集的欧式期权稳健投资组合优化研究","authors":"Hedieh Ashrafi,&nbsp;Aurélie C. Thiele","doi":"10.1016/j.orp.2021.100178","DOIUrl":null,"url":null,"abstract":"<div><p>We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor driving the returns and a budget of uncertainty limiting the scaled deviations of these factors from their nominal values. Our goal is to understand the impact of options on the optimal portfolio allocation. We present theoretical results regarding the structure of that optimal allocation, in particular with respect to portfolio diversification. Specifically, we show that the presence of options only leads to limited diversification across the financial instruments available. We compare our robust portfolio to several benchmarks in numerical experiments and analyze how the optimal allocation varies with the budget of uncertainty. Our results indicate that our approach performs very well in practice.</p></div>","PeriodicalId":38055,"journal":{"name":"Operations Research Perspectives","volume":null,"pages":null},"PeriodicalIF":3.7000,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.orp.2021.100178","citationCount":"5","resultStr":"{\"title\":\"A study of robust portfolio optimization with European options using polyhedral uncertainty sets\",\"authors\":\"Hedieh Ashrafi,&nbsp;Aurélie C. Thiele\",\"doi\":\"10.1016/j.orp.2021.100178\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor driving the returns and a budget of uncertainty limiting the scaled deviations of these factors from their nominal values. Our goal is to understand the impact of options on the optimal portfolio allocation. We present theoretical results regarding the structure of that optimal allocation, in particular with respect to portfolio diversification. Specifically, we show that the presence of options only leads to limited diversification across the financial instruments available. We compare our robust portfolio to several benchmarks in numerical experiments and analyze how the optimal allocation varies with the budget of uncertainty. Our results indicate that our approach performs very well in practice.</p></div>\",\"PeriodicalId\":38055,\"journal\":{\"name\":\"Operations Research Perspectives\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.7000,\"publicationDate\":\"2021-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/j.orp.2021.100178\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Operations Research Perspectives\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S2214716021000014\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"OPERATIONS RESEARCH & MANAGEMENT SCIENCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Operations Research Perspectives","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214716021000014","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"OPERATIONS RESEARCH & MANAGEMENT SCIENCE","Score":null,"Total":0}
引用次数: 5

摘要

本文研究了当经理人同时投资于股票和欧洲期权时,如何使最坏情况下的投资组合收益最大化的问题,并使用不确定性集方法对股票收益进行建模。具体来说,经理知道驱动收益的每个因素的范围预测,以及限制这些因素与其名义值的比例偏差的不确定性预算。我们的目标是了解期权对最佳投资组合配置的影响。我们提出了关于最优配置结构的理论结果,特别是关于投资组合多样化的理论结果。具体来说,我们表明期权的存在只会导致有限的金融工具多样化。我们在数值实验中将稳健投资组合与几个基准进行比较,并分析了最优配置如何随不确定性预算而变化。我们的结果表明,我们的方法在实践中表现得很好。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A study of robust portfolio optimization with European options using polyhedral uncertainty sets

We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor driving the returns and a budget of uncertainty limiting the scaled deviations of these factors from their nominal values. Our goal is to understand the impact of options on the optimal portfolio allocation. We present theoretical results regarding the structure of that optimal allocation, in particular with respect to portfolio diversification. Specifically, we show that the presence of options only leads to limited diversification across the financial instruments available. We compare our robust portfolio to several benchmarks in numerical experiments and analyze how the optimal allocation varies with the budget of uncertainty. Our results indicate that our approach performs very well in practice.

求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
Operations Research Perspectives
Operations Research Perspectives Mathematics-Statistics and Probability
CiteScore
6.40
自引率
0.00%
发文量
36
审稿时长
27 days
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信