Informatics and Applications
2023, Volume 17, Issue 1, pp 107-115
MULTIDIMENSIONAL BUTTERFLIES IN PROBLEMS OF OPTIMIZATION ON CC-VaR
Abstract
The work continues studying problems of using continuous VaR-criterion (CC-VaR) in financial markets.
Again some technical problems are concerned. However, they emerge this time not in multidimensional relatively simple binary markets but in multidimensional markets that are an extension of one-dimensional traditional markets of options such as calls and puts. In assumption that scenario butterflies are not traded in markets directly a method of receiving their replication from multidimensional options, i. e., à-options, is developed. It is based on options parity theorems and can be applied to markets of arbitrary dimension, but actual realization is conducted for two-dimensional markets. The bases constructions in terms of à-options both one-type and natural mixed with
selected market center are produced. Theoretical representations of optimal portfolios in these bases accompanied with the payoffs diagram are illustrated by the distinctive example of a two-dimensional market.
[+] References (7)
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[+] About this article
Title
MULTIDIMENSIONAL BUTTERFLIES IN PROBLEMS OF OPTIMIZATION ON CC-VaR
Journal
Informatics and Applications
2023, Volume 17, Issue 1, pp 107-115
Cover Date
2023-04-10
DOI
10.14357/19922264230114
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
underliers; multidimensional market; investor's risk preferences function; continuous VaR-criterion; cost and forecast densities; scenario indicators; bases; binary options; one-type portfolio; market center; mixed portfolio
Authors
G. A. Agasandyan 
Author Affiliations
Federal Research Center "Computer Science and Control" of the Russian Academy of Sciences, 44-2 Vavilov Str., Moscow 119333, Russian Federation
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