IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v192y2009i3p975-980.html
   My bibliography  Save this article

Options strategies with the risk adjustment

Author

Listed:
  • Gao, Pei-wang

Abstract

This paper proposes a general linear programming model with risk bounds on all the Greek letters for the portfolio and then performs a new post-optimality analysis for the model. In the analysis, the risks can be adjusted by the investor to suit the needs of the market change. The applications of the model and the method to Ericsson's options show that they are of practical interests.

Suggested Citation

  • Gao, Pei-wang, 2009. "Options strategies with the risk adjustment," European Journal of Operational Research, Elsevier, vol. 192(3), pages 975-980, February.
    • Handle: RePEc:eee:ejores:v:192:y:2009:i:3:p:975-980
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(07)01014-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Papahristodoulou, Christos, 2004. "Option strategies with linear programming," European Journal of Operational Research, Elsevier, vol. 157(1), pages 246-256, August.
    2. Wilmott,Paul & Howison,Sam & Dewynne,Jeff, 1995. "The Mathematics of Financial Derivatives," Cambridge Books, Cambridge University Press, number 9780521497893.
    3. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    4. Jason Wu & Suvrajeet Sen, 2000. "A Stochastic Programming Model for Currency Option Hedging," Annals of Operations Research, Springer, vol. 100(1), pages 227-249, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    2. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    3. Xiaoxia Huang & Xuting Wang, 2019. "Portfolio Investment with Options Based on Uncertainty Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 929-952, May.
    4. Ghafarian, Bahareh & Hanafizadeh, Payam & Qahi, Amir Hossein Mortazavi, 2018. "Applying Greek letters to robust option price modeling by binomial-tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 632-639.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Stefano Baccarin & Daniele Marazzina, 2014. "Optimal impulse control of a portfolio with a fixed transaction cost," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 355-372, June.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. An Chen & Thai Nguyen & Thorsten Sehner, 2022. "Unit-Linked Tontine: Utility-Based Design, Pricing and Performance," Risks, MDPI, vol. 10(4), pages 1-27, April.
    4. Hong, Claire Yurong & Lu, Xiaomeng & Pan, Jun, 2021. "FinTech adoption and household risk-taking," BOFIT Discussion Papers 14/2021, Bank of Finland Institute for Emerging Economies (BOFIT).
    5. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    6. Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
    7. Chen, An & Hieber, Peter & Sureth, Caren, 2022. "Pay for tax certainty? Advance tax rulings for risky investment under multi-dimensional tax uncertainty," arqus Discussion Papers in Quantitative Tax Research 273, arqus - Arbeitskreis Quantitative Steuerlehre.
    8. Mayank Goel & Suresh Kumar K., 2006. "A Risk-Sensitive Portfolio Optimisation Problem with Stochastic Interest Rate," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 263-282, December.
    9. Andreas Fagereng & Luigi Guiso & Davide Malacrino & Luigi Pistaferri, 2020. "Heterogeneity and Persistence in Returns to Wealth," Econometrica, Econometric Society, vol. 88(1), pages 115-170, January.
    10. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 23(Q III), pages 36-58.
    11. Mr. Christopher Carroll & Mr. Martin Sommer & Mr. Jiri Slacalek, 2012. "Dissecting Saving Dynamics: Measuring Wealth, Precautionary, and Credit Effects," IMF Working Papers 2012/219, International Monetary Fund.
    12. Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 245-259, April.
    13. Montserrat Guillén & Jean Pinquet, 2008. "Long-Term Care: Risk Description of a Spanish Portfolio and Economic Analysis of the Timing of Insurance Purchase," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 33(4), pages 659-672, October.
    14. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
    15. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages 1-25, March.
    16. Stephen Satchell & Susan Thorp, 2007. "Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments," Research Paper Series 209, Quantitative Finance Research Centre, University of Technology, Sydney.
    17. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
    18. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.
    19. Zongxia Liang & Xiaodong Luo & Fengyi Yuan, 2023. "Consumption-investment decisions with endogenous reference point and drawdown constraint," Mathematics and Financial Economics, Springer, volume 17, number 6, June.
    20. Miao, Jianjun & Wang, Neng, 2007. "Investment, consumption, and hedging under incomplete markets," Journal of Financial Economics, Elsevier, vol. 86(3), pages 608-642, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:192:y:2009:i:3:p:975-980. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.