Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
477422 | European Journal of Operational Research | 2009 | 6 Pages |
Abstract
This paper proposes a general linear programming model with risk bounds on all the Greek letters for the portfolio and then performs a new post-optimality analysis for the model. In the analysis, the risks can be adjusted by the investor to suit the needs of the market change. The applications of the model and the method to Ericsson’s options show that they are of practical interests.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Pei-wang Gao,