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Active Portfolio Management on the Romanian Stock Market

✍ Scribed by Tudor, Cristiana

Book ID
119360947
Publisher
Elsevier
Year
2012
Tongue
English
Weight
648 KB
Volume
58
Category
Article
ISSN
1877-0428

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We build an investment model based on Stochastic Programming. In the model we buy at the ask price and sell at the bid price. We apply the model to a case where we can invest in a Swedish stock index, call options on the index and the risk-free asset. By reoptimizing the portfolio on a daily basis o