Portfolio Optimization Model with and without Options under Additional Constraints

In this paper, first, we study mean-absolute deviation (MAD) portfolio optimization model with cardinality constraints, short selling, and risk-neutral interest rate. Then, in order to insure the investment against unfavorable outcomes, an extension of MAD model that includes options is considered....

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Veröffentlicht in:	Mathematical problems in engineering 2020, Vol.2020 (2020), p.1-10
Hauptverfasser:	Khodamoradi, T., Najafi, Ali Reza, Salahi, Maziar
Format:	Artikel
Sprache:	eng
Schlagworte:	Constraint modelling Engineering Interest rates Investments Linear programming Optimization Optimization models Portfolio performance Put & call options Random variables Short sales Stocks Wavelet transforms
Online-Zugang:	Volltext
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