Risk Management for International Portfolios with Basket Options:A Multi-Stage Stochastic Programming Approach  

作　　者：YIN Libo HAN Liyan 

机构地区：[1]School of Finance, Central University of Finance and Economics,Beijing 100081, China [2]School of Economics and Management, Beihang University，Beijing 100191, China.

出　　处：《Journal of Systems Science & Complexity》2015年第6期1279-1306,共28页系统科学与复杂性学报（英文版）

基　　金：the National Natural Science Foundation of the People’s Republic of China with financially funding under Grant Nos.71401193 and 71371022

摘　　要：The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming(MSSP). The authors note particularly the novel consideration and signi?cant bene?t of basket options in the context of portfolio optimization and risk management.Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation,and a suitable test bed to empirically investigate the performance of alternative strategies.The authors consider the problem of active international portfolio management with basket options to achieve optimal asset allocation and combined market risk and currency risk management via multi-stage stochastic programming（MSSP）. The authors note particularly the novel consideration and significant benefit of basket options in the context of portfolio optimization and risk management.Extensive empirical tests strongly demonstrate that basket options consistently have more clearly improvement on portfolio performances than a portfolio of vanilla options written on the same underlying assets. The authors further show that the MSSP model provides as a supportive tool for asset allocation,and a suitable test bed to empirically investigate the performance of alternative strategies.

关 键 词：Basket options options applications portfolio optimization risk management stochastic programming 

分 类 号：F830.59[经济管理—金融学] O221.5[理学—运筹学与控制论]