Title of article :
Options strategies with the risk adjustment
Author/Authors :
Pei-wang Gao، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
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.
Keywords :
Portfolio , Options , Risk , Linear programming
Journal title :
European Journal of Operational Research
Journal title :
European Journal of Operational Research