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| Author: | Dert, C. Oldenkamp, B. |
| Title: | Optimal guaranteed return portfolios and the casino effect |
| Journal: | Operations Research
2000 : SEP-OCT, VOL. 48:5, p. 768-775 |
| Index terms: | GUARANTEES PORTFOLIO MANAGEMENT BENCHMARKING |
| Language: | eng |
| Abstract: | In this paper the authors address the problem of determining optimal portfolios that may include options in a framework of return maximization with risk constraints relative to a benchmark, as well as in terms of absolute returns. The model the authors propose allows for deterministic constraints as well as probabilistic constraints. The authors derive properties of optimal and feasible portfolios and present a linear programming model to solve the problem. |
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