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A Simulation Model to Analyze the Impact of Golf Skills and a Scenario-based Approach to Options Portfolio Optimization

Soonmin Ko

Title:
A Simulation Model to Analyze the Impact of Golf Skills and a Scenario-based Approach to Options Portfolio Optimization
Author(s):
Ko, Soonmin
Thesis Advisor(s):
Broadie, Mark Nathan
Date:
Type:
Dissertations
Department:
Industrial Engineering and Operations Research
Permanent URL:
Notes:
Ph.D., Columbia University.
Abstract:
A simulation model of the game of golf is developed to analyze the impact of various skills (e.g., driving distance, directional accuracy, putting skill, and others) on golf scores. The golf course model includes realistic features of a golf course including rough, sand, water, and trees. Golfer shot patterns are modeled with t distributions and mixtures of t and normal distributions since normal distributions do not provide good fits to the data. The model is calibrated to extensive data for amateur and professional golfers. The golf simulation is used to assess the impact on scores of distance and direction, determine what factors separate pros from amateurs, and to determine the impact of course length on scores. In the second part of the thesis, we use a scenario-based approach to solve a portfolio optimization problem with options. The solution provides the optimal payoff profile given an investor's view of the future, his utility function or risk appetite, and the market prices of options. The scenario-based approach has several advantages over the traditional covariance matrix method, including additional flexibility in the choice of constraints and objective function.
Subject(s):
Engineering
Operations research
Item views:
402
Metadata:
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