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 Operations Research Perspectives Pub Date : 2021-01-01 DOI:10.1016/j.orp.2021.100178
Hedieh Ashrafi, Aurélie C. Thiele
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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。
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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.

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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
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