investment optimization
Download
Skip this Video
Download Presentation
INVESTMENT OPTIMIZATION

Loading in 2 Seconds...

play fullscreen
1 / 7

INVESTMENT OPTIMIZATION - PowerPoint PPT Presentation


  • 99 Views
  • Uploaded on

SOLUTIONS. M. M. INVESTMENT OPTIMIZATION. SYST 798/OR 680 Capstone Project Proposal Lee Vorthman Isaac Rusangiza Kindle Fell Erik Adamson. M. M. Project Proposal. Investment Optimization

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about ' INVESTMENT OPTIMIZATION' - presta


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
investment optimization

SOLUTIONS

M

M

INVESTMENT OPTIMIZATION

SYST 798/OR 680

Capstone Project Proposal

Lee Vorthman

Isaac Rusangiza

Kindle Fell

Erik Adamson

project proposal

M

M

Project Proposal
  • Investment Optimization
    • Problem: There is currently no known mathematical model used for selling future stock options – presently accomplished with vast market experience and general “feel” for futures behavior
    • Goal: Determine a method/strategy for optimizing investment return with index future options
      • A way to theoretically achieve a reasonably high probability of making money from an investment through sales of both calls and puts
        • Put – As the seller, betting an option will increase/stay the same
        • Call – As the seller, betting an option will decrease/stay the same
      • Limited to S&P 500 index future options
project proposal1

M

M

Project Proposal
  • Suggested Methods/Strategies
    • Short Straddle Option Strategy
    • Black-Scholes Model – market data
    • Arbitrage Pricing Theory
  • Characteristics to consider
    • What price above and below strike price to offset gains and losses
    • When to sell
      • Sit and wait versus dynamically buying and selling in response to market activity
project proposal2

M

M

Project Proposal
  • Planned Approach
    • Propose a solution Model
    • Simulation
      • Using common programming language or software (MatLab, Arena, Java, Analytica)
      • Find appropriate data or data model
    • Continue using Spiral Development
      • Refine Model and repeat
project proposal3

M

M

Project Proposal
  • Planned Deliverables
    • CONOPS
      • Problem Statement
      • Market Analysis/research
      • Scope
      • Stakeholder Analysis
      • Top level requirements
    • Schedule (Gantt Chart)
    • Business Case/Justification
    • Simulation Model
    • Process Model/Description
project proposal4

M

M

Project Proposal
  • Next Steps
    • Project approval
    • Determine high-level requirements and constraints to judge any method or model being considered
      • Further research on futures investment
      • Continued interaction with primary stakeholder / sponsor (Prof. Chang)
      • Definition of Success (ROI, Risk vs. Return)
      • Find appropriate set of data for modeling purposes
    • Simulation and Test Plan
      • Further research on suggested strategy while searching for possible alternatives
ad