Estructuración de portafolios que incluyen opciones

Abstract

The main goal of this paper is to formulate portfolio selection problems in terms of quadratic optimization problems. For the mean-variance optimal portfolio selection problem we consider that the expected returns of the European-style options, risky and risk-free assets as well as the covariance matrix of the risky assets are exactly known. In the course of the presentation, the covariance matrix can be seen as a numerical approximation of an improper integral, so that some of the powerful numerical packages nowadays available for this class of problems can be used.