METHOD FOR OPTIMIZING A HEDGING STRATEGY FOR PORTFOLIO MANAGEMENT

摘要

A method and a computing apparatus for managing a portfolio of securities and derivatives are provided. The method includes: identifying a plurality of available hedging instruments based on the portfolio of securities and derivatives; obtaining historical market data that relates to the identified plurality of hedging instruments; assessing an optimized value of the portfolio of securities and derivatives based on the obtained historical market data; and determining at least one potential action to be executed with respect to the plurality of available hedging instruments based on the assessed optimized value. The assessment of the optimized value of the securities portfolio may effected by generating a market model simulation function, such as a finite dimensional Linear Markov Representation (LMR), based on the portfolio and maximizing a value of the generated market model simulation function.