An Algorithm to Calculate the Return Distribution of Portfolios with Option Positions

Article Abstract:

A technique is given for generating the return distribution that will result when options are taken on a stock portfolio. The distribution is determined for a finite time. It is of practical interest to know how options will combine with the return on the underlying stock portfolio to produce a new return distribution. Determining the return function of an optioned portfolio is easy if the option position can be revised continuously but in real life option positions are held for a finite period of time. The algorithm is used to illustrate the effect that several simple and well-known options strategies have on portfolio return characteristics. A table shows calculated results for the Index algorithm and Monte Carlo simulations.

Management science, Portfolio management, Investments, Algorithms, Algorithm, Stock markets, Modeling, Data modeling software, Simulation, Stock Market, Stock, Monte Carlo Methods

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Eureka: a hybrid system for assembly line balancing

Article Abstract:

The simple assembly line balancing problem (SALB) can be quickly and efficiently solved using Eureka, a hybrid system which utilizes a branch and bound algorithm that integrates the principles of the Hoffman heuristic technique to solve SALB problems. The optimization algorithm uses a bounding rule based on the idea of theoretical minimum slack time to achieve fast solutions to SALB problems. The Eureka system is microprocessor-based and allows SALB problems to be solved using an IBM PC.

Research, Branch and bound algorithms, Assembly-line balancing

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