英文标题：
《Model for Constructing an Options Portfolio with a Certain Payoff
  Function》
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作者：
Margarita E. Fatyanova, Mikhail E. Semenov
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最新提交年份：
2017
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英文摘要：
  The portfolio optimization problem is a basic problem of financial analysis. In the study, an optimization model for constructing an options portfolio with a certain payoff function has been proposed. The model is formulated as an integer linear programming problem and includes an objective payoff function and a system of constraints. In order to demonstrate the performance of the proposed model, we have constructed the portfolio on the European call and put options of Taiwan Futures Exchange. The optimum solution was obtained using the MATLAB software. Our approach is quite general and has the potential to design options portfolios on financial markets.
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中文摘要：
投资组合优化问题是财务分析的一个基本问题。在研究中，提出了一个构建具有一定回报函数的期权组合的优化模型。该模型被描述为一个整数线性规划问题，包括一个目标支付函数和一个约束系统。为了验证所提出模型的性能，我们构建了台湾期货交易所欧洲看涨期权和看跌期权的投资组合。利用MATLAB软件得到了最优解。我们的方法非常通用，有潜力在金融市场上设计期权组合。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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