Options strategies with the risk adjustment
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.
References listed on IDEAS
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- Papahristodoulou, Christos, 2004.
"Option strategies with linear programming,"
European Journal of Operational Research,
Elsevier, vol. 157(1), pages 246-256, August.
- 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 247-57, August.
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