ИСТИНА

In the conference ICSP - 2013 our report “Management of Portfolio of Options With Two Expiration Dates” was presented. It told about an approach of option portfolio management in a risk-neutral world based on the stochastic program with approximated safety-first criterion [1]. This criterion implies that some of the considered scenarios are not taken into account. The portfolio started with options of one expiration. During portfolio management if the probability to reach the required return failed below some predefined level then options of the next expiration were included to the portfolio and the planning horizon was transferred to the next expiration date. If the probability of success was held over the predefined level all the time, then the options of the next expiration were not opted for and the portfolio expired on the nearest expiration date. The simulation showed that the developed program and the strategy ensured a quite high probability of the success of the portfolio. Among the ten simulated 1-year tracks none finished with a loss. The contribution of the present work is as follows. The approach described supra is applied for futures portfolio management. The according stochastic program has been developed. The real futures of Russian derivative market are considered. The portfolio can include futures of one or two different expirations. To formalize the dynamics of underlying asset prices ARIMA and GARCH models are used. The according scenario tree which presents one or two futures prices is constructed. The results of futures portfolio management simulations based on the historical prices of Moscow Exchange are provided in the report. [1] D. Golembiovsky and A. Abramov, Option portfolio management as a chance constrained problem. In Stochastic Programming: Applications in Finance, Energy, Planning and Logistics, edited by H. Gassmann, S. W. Wallace, W. T. Ziemba, 2013, 155-172 (World Scientific).