2023
DOI: 10.1186/s40854-023-00488-0
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Intelligent option portfolio model with perspective of shadow price and risk-free profit

Abstract: Since Markowitz proposed modern portfolio theory, portfolio optimization has been being a classic topic in financial engineering. Although it is generally accepted that options help to improve the market, there is still an improvement for the portrayal of their unique properties in portfolio problems. In this paper, an intelligent option portfolio model is developed that allows selling options contracts to earn option fees and considers the high leverage of options in the market. Deep learning methods are used… Show more

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Cited by 2 publications
(2 citation statements)
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“…In essence, the impact of changes in the RHS value of a constraint on the optimal value of the objective function could be determined by multiplying the amount of change by the constraint's shadow price [23] [24]. It was crucial to note that this held true within a restricted range of feasibility.…”
Section: Dual Pricementioning
confidence: 99%
“…In essence, the impact of changes in the RHS value of a constraint on the optimal value of the objective function could be determined by multiplying the amount of change by the constraint's shadow price [23] [24]. It was crucial to note that this held true within a restricted range of feasibility.…”
Section: Dual Pricementioning
confidence: 99%
“…The need to increase profits to satisfy investors has resulted in a rarefaction of the relationship between the company and its stakeholders, who are the protagonists of most processes of economic sustainability and growth (Harrison et al, 2020). Changes such as the specialized product development, the digitization of internal and external processes, and new consumer profiles have revealed the main weaknesses of most companies, in which low satisfaction and social precariousness have ended up diminishing the sought objectives (Stenius & Eriksson, 2023;Xu & Ma, 2023;Zhao et al, 2023).…”
Section: Introductionmentioning
confidence: 99%