A study of robust portfolio optimization with European options using polyhedral uncertainty sets
We consider the problem of maximizing the worst-case return of a portfolio when the manager can invest in stocks as well as European options on those stocks, and the stock returns are modeled using an uncertainty set approach. Specifically, the manager knows a range forecast for each factor driving...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-01-01
|
| Series: | Operations Research Perspectives |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214716021000014 |