Developing a multi-period robust optimization model considering American style options

The main goal in this study is to introduce a new linear model for multi-period portfolio optimization. The proposed optimization model can take both stocks and their respective American style options into consideration. Moreover, to hedge the resulting portfolio, the robust counterpart of this model is developed in which the level of robustness can be determined using the length and the type of the uncertainty set. The experiments results which are obtained based on the data of Dow Jones stock market verify the performance of the proposed models compared to what has been achieved using Bertsimas et al.’s optimization model.