A geometric approach to multiperiod mean variance optimization of assets and liabilities

Article Abstract:

Multiperiod mean variance portfolio optimization is used to simplify the mathematical analysis and the economic interpretations. The geometric approach to multiperiod mean variance optimization can create an impact of taking liabilities into account and expose the dynamic portfolio optimally to each assets return strategies.

Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Asset Valuation & Distribution, Asset valuation

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The American put under transactions costs

Article Abstract:

The optimal super-replication of American put options with physical delivery of stock option, by means of a stock-plus-riskless asset portfolio is examined. The binomial model and European model that analyze the costs on stock transaction is described.

Europe, Stock options, Securities trading

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