CONSTRUCTION OF A DECISION-SUPPORT SYSTEM FOR A COMBINATION OF OPTIONS

被引：1
|
作者：
TANAKA, H [1 ]
DOHI, T [1 ]
FUJIWARA, H [1 ]
OSAKI, S [1 ]
KAIO, N [1 ]
机构：
[1] HIROSHIMA SHUDO UNIV,DEPT MANAGEMENT SCI,HIROSHIMA 73131,JAPAN
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1992年 / 24卷 / 1-2期
关键词：
D O I：
10.1016/0898-1221(92)90238-D
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we discuss the design for the strategic portfolio involving two kinds of stock options and propose a strategic algorithm, which is based on maximizing the probability that the expected capital gain for the investor becomes positive. We show, using the actual data of stock and option prices, that the algorithm proposed in this paper is efficient and useful in actual option trading.
引用
收藏
页码：135 / 140
页数：6
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