Investment Planning Group

George Mason University

Systems Engineering & Operations Research

OR 680/SYST 798 Capstone Project

Spring 2011

• About Us
• Schedule
• Deliverables
• Results
• Resources

http://seor.gmu.edu/

Resources

CME Group

Optimal Options Investment Group - Spring 2010 Capstone Group at George Mason University

Investment Strategy Group - Fall 2009 Capstone Group at George Mason University

Investopedia

Special Thanks

Dr. Kouo-Chu Chang, Professor - George Mason University

Arshivad Naik, Research Assistant - George Mason University

Dr. Thomas Corwin, President and Chief Operations Officer - Metron, Inc.

Bibliography

• 1Option. Front Month Option Expiration. 2011. http://www.1option.com/index.php/definitions-option-trading/front_month_option/ (accessed April 2011).
• Adamson, Erik, Kindle Fell, Isaac Rusangiza, and Lee Vorthman. Investment Strategy Project. 2009. http://seor.gmu.edu/projects/SEOR-Fall09/ISG/Investment_Optimization/Welcome.html (accessed January 2011).
• Bakstien, David. "Let it Flow." n.d. http://www.wilmott.com/pdfs/010810_illiquid.pdf (accessed February 2011).
• Chen, Tony, Ehsan Esmaeilzadeh, Ali Javandi, Ning Lin, and Ryan O'Neil. "Optimal Options Investment Strategy Final Report." Spring 2010: Optimal Options Investment Group. 2010. http://ite.gmu.edu/~klaskey/OR680/MSSEORProjectsSpring10/Investment/index.html (accessed January 2011).
• Dorman Trading. "CME E -Mini S&P 500." Dorman Trading. 2007. http://www.dormantrading.com/tradertools/CMEeminisp500.pdf (accessed April 2011).
• Hull, John C. Options, Futures, and other Derivatives. Boston, MA: Prentice Hall, 2012.
• Kuepper, Justin. "Money Management Using the Kelly Criterion." Investopedia. 2004. http://investopedia.com/articles/trading/04/091504.asp (accessed February 2011).
• LIBOR Rates History. 2011. http://www.wsjprimerate.us/libor/libor_rates_history.htm (accessed April 2011).
• Normal's Historical Data. 2011. http://www.normashistoricaldata.com (accessed March 2011).
• Nosek, Anthony. "Kelly Percent." Stator. January 2005. http://www.stator-afm.com/kelly-percent.html (accessed February 2011).
• Wikipedia. Kelly Criterion. February 2011. http://en.wikipedia.org/wiki/Kelly_criterion (accessed February 2011).
• —. Sharpe Ratio. April 2011. http://en.wikipedia.org/wiki/Sharpe_ratio (accessed April 2011).
• Wilmott, Paul. Derivatives. West Sussex, England: John Wiley & Sons, 1999.

 

 

George Mason University, Systems Engineering & Operations Research, http://seor.gmu.edu/