Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/139429
Full metadata record
DC FieldValueLanguage
dc.contributor.authorLiu, Bingyanen_US
dc.date.accessioned2020-05-19T07:52:39Z-
dc.date.available2020-05-19T07:52:39Z-
dc.date.issued2020-
dc.identifier.urihttps://hdl.handle.net/10356/139429-
dc.description.abstractWe 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.en_US
dc.language.isoenen_US
dc.publisherNanyang Technological Universityen_US
dc.subjectScience::Mathematics::Applied mathematics::Simulation and modelingen_US
dc.subjectScience::Mathematics::Applied mathematics::Optimizationen_US
dc.titleOptimal option portfolio selection with simulation techniquesen_US
dc.typeFinal Year Project (FYP)en_US
dc.contributor.supervisorPUN Chi Sengen_US
dc.contributor.schoolSchool of Physical and Mathematical Sciencesen_US
dc.description.degreeBachelor of Science in Mathematics and Economicsen_US
dc.contributor.supervisoremailcspun@ntu.edu.sgen_US
item.grantfulltextrestricted-
item.fulltextWith Fulltext-
Appears in Collections:SPMS Student Reports (FYP/IA/PA/PI)
Files in This Item:
File Description SizeFormat 
FYP_Liu Bingyan.pdf
  Restricted Access		2.31 MBAdobe PDFView/Open

Google ScholarTM

Check

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.