15 research outputs found
Experiences of women undergoing infertility treatment from embryo transfer until pregnancy test and their conceptualization of their embryo
Reformulation of the linear program for completely ergodic MDPs with average cost criteria
A clustering approach for scenario tree reduction: an application to a stochastic programming portfolio optimization problem
Worst-Case Modelling for Management Decisions under Incomplete Information, with Application to Electricity Spot Markets
Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach
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