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Back-testing the pe...
Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990–1999
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- Blomvall, Jörgen, 1974- (author)
- Linköpings universitet,Optimeringslära,Tekniska högskolan
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- Lindberg, Per Olov, 1942- (author)
- Linköpings universitet,Optimeringslära,Tekniska högskolan
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(creator_code:org_t)
- Amsterdam, Netherlands : Elsevier, 2003
- 2003
- English.
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In: Journal of Economic Dynamics and Control. - Amsterdam, Netherlands : Elsevier. - 0165-1889 .- 1879-1743. ; 27:6, s. 1099-1112
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- We build an investment model based on Stochastic Programming. In the model we buy at the ask price and sell at the bid price. We apply the model to a case where we can invest in a Swedish stock index, call options on the index and the risk-free asset. By reoptimizing the portfolio on a daily basis over a ten-year period, it is shown that options can be used to create a portfolio that outperforms the index. With ex post analysis, it is furthermore shown that we can create a portfolio that dominates the index in terms of mean and variance, i.e. at given level of risk we could have achieved a higher return using options.
Subject headings
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Keyword
- Portfolio optimization; Derivatives
- MATHEMATICS
- MATEMATIK
Publication and Content Type
- ref (subject category)
- art (subject category)
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