Optimal option portfolio selection with simulation techniques

We propose a method to solve the problem of asset allocation for option portfolios using simulations. Our method improved the OOPS(Optimal option portfolio strategies) proposed by Jose and Santa. We apply a simulation method based on Heston volatility model and optimization method based on utility m...

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Bibliographic Details
Main Author:	Liu, Bingyan
Other Authors:	PUN Chi Seng
Format:	Final Year Project
Language:	English
Published:	Nanyang Technological University 2020
Subjects:	Science::Mathematics::Applied mathematics::Simulation and modeling Science::Mathematics::Applied mathematics::Optimization
Online Access:	https://hdl.handle.net/10356/139429
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Institution:	Nanyang Technological University
Language:	English

id	sg-ntu-dr.10356-139429
record_format	dspace
spelling	sg-ntu-dr.10356-1394292023-02-28T23:13:22Z Optimal option portfolio selection with simulation techniques Liu, Bingyan PUN Chi Seng School of Physical and Mathematical Sciences cspun@ntu.edu.sg Science::Mathematics::Applied mathematics::Simulation and modeling Science::Mathematics::Applied mathematics::Optimization We propose a method to solve the problem of asset allocation for option portfolios using simulations. Our method improved the OOPS(Optimal option portfolio strategies) proposed by Jose and Santa. We apply a simulation method based on Heston volatility model and optimization method based on utility maximization of constant relative risk aversion function. A detailed algorithm is designed to support dynamic rebalance of the option portfolio. The method has achieved a Sharpe ratio of 1.73. Bachelor of Science in Mathematics and Economics 2020-05-19T07:52:39Z 2020-05-19T07:52:39Z 2020 Final Year Project (FYP) https://hdl.handle.net/10356/139429 en application/pdf Nanyang Technological University
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
language	English
topic	Science::Mathematics::Applied mathematics::Simulation and modeling Science::Mathematics::Applied mathematics::Optimization
spellingShingle	Science::Mathematics::Applied mathematics::Simulation and modeling Science::Mathematics::Applied mathematics::Optimization Liu, Bingyan Optimal option portfolio selection with simulation techniques
description	We propose a method to solve the problem of asset allocation for option portfolios using simulations. Our method improved the OOPS(Optimal option portfolio strategies) proposed by Jose and Santa. We apply a simulation method based on Heston volatility model and optimization method based on utility maximization of constant relative risk aversion function. A detailed algorithm is designed to support dynamic rebalance of the option portfolio. The method has achieved a Sharpe ratio of 1.73.
author2	PUN Chi Seng
author_facet	PUN Chi Seng Liu, Bingyan
format	Final Year Project
author	Liu, Bingyan
author_sort	Liu, Bingyan
title	Optimal option portfolio selection with simulation techniques
title_short	Optimal option portfolio selection with simulation techniques
title_full	Optimal option portfolio selection with simulation techniques
title_fullStr	Optimal option portfolio selection with simulation techniques
title_full_unstemmed	Optimal option portfolio selection with simulation techniques
title_sort	optimal option portfolio selection with simulation techniques
publisher	Nanyang Technological University
publishDate	2020
url	https://hdl.handle.net/10356/139429
_version_	1759854525382918144

Optimal option portfolio selection with simulation techniques

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