Paper Info
Title
Parallel Investments In Multiple Call And Put Options For The Tracking Of Desired Profit Profiles
Abstract
A hierarchical algorithm is presented for optimally and automatically combining various option investments to cost-efficiently realize a desired profit-vs.-underlying-price profile (profit profile). The algorithm assumes that a user defined reference shape is defined and a set of plain vanilla options in which long and short investment positions can be taken are given. Within the presented framework, the desired profit profile can be of arbitrary piecewise-affine (PWA) shape. Depending on future underlying price predictions, it typically represents a bearish or bullish market outlook, or displays bi-modal shape for conditional market outlooks. The method provides a tool for portfolio optimization that is flexible enough to trade off different user-preferences such as exploiting on conditional market outlooks, realizing leverage, and most notably guaranteeing predictable worst-case losses for risk minimization. The framework can easily be extended to account for different derivative contracts such as exotic options.
Year
Venue
Field
2017
2017 AMERICAN CONTROL CONFERENCE (ACC)
Mathematical optimization,Exotic option,Leverage (finance),Computer science,Control engineering,Portfolio optimization,Prediction algorithms,Hierarchical algorithm,Derivative (finance)
DocType
ISSN
Citations 
Conference
0743-1619
0
PageRank 
References 
Authors
0.34
4
2
Name
Order
Citations
PageRank
Mogens Graf Plessen1162.69
Alberto Bemporad24353568.62