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dc.contributor.authorMaasar, MA-
dc.contributor.authorRoman, D-
dc.contributor.authorDate, P-
dc.identifier.citationOpenAccess Series in Informatics, 50: pp. 9.1 - 9.17, (2016)en_US
dc.description.abstractWe introduce options on FTSE100 index in portfolio optimisation with shares in which conditional value at risk (CVaR) is minimised. The option considered here is the one that follows FTSE100 Index Option standards. Price of options are calculated under the risk neutral valuation. The efficient portfolio composed under this addition of options shows that put option will be selected as part of the investment for every level of targeted returns. Main finding shows that the use of options does indeed decrease downside risk, and leads to better in-sample portfolio performance. Out-of-sample and back-testing also shows better performance of CVaR efficient portfolios in which index options are included. All models are coded using AMPL and the results are analysed using Microsoft Excel. Data used in this study are obtained from Datastream. We conclude that adding a put index option in addition to stocks, in order to actively create a portfolio, can substantially reduce the risk at a relatively low cost. Further research work will consider the case when short positions are considered, including writing call options.en_US
dc.description.sponsorshipThis work was partially supported by the Department of Mathematics, Brunel University.en_US
dc.format.extent9.1 - 9.17-
dc.publisherSchloss Dagstuhl - Leibniz-Zentrum für Informatiken_US
dc.subjectPortfolio optimisationen_US
dc.subjectPortfolio insuranceen_US
dc.subjectOption pricingen_US
dc.titlePortfolio optimisation using risky assets with options as derivative insuranceen_US
dc.relation.isPartOfOpenAccess Series in Informatics-
Appears in Collections:Dept of Mathematics Research Papers

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