• DocumentCode
    120801
  • Title

    Better portfolios with options

  • Author

    Cabej, Gerda ; Gilli, Manfred ; Schumann, Enrico

  • Author_Institution
    Univ. of Geneva, Geneva, Switzerland
  • fYear
    2014
  • fDate
    27-28 March 2014
  • Firstpage
    107
  • Lastpage
    113
  • Abstract
    In the period following the last financial crisis, equity markets have performed poorly. In consequence, equity long-only strategies have generally disappointed over this period. This has motivated the investigation on whether better performance can be achieved by including equity options in the portfolios. We show that simple systematic option strategies improve portfolio performance. Results are supported by thorough backtesting and simulations.
  • Keywords
    financial management; investment; share prices; stock markets; equity market; equity options; financial crisis; portfolio performance; Benchmark testing; Indexes; Linear programming; Optimization; Portfolios; Vectors; Writing;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence for Financial Engineering & Economics (CIFEr), 2104 IEEE Conference on
  • Conference_Location
    London
  • Type

    conf

  • DOI
    10.1109/CIFEr.2014.6924061
  • Filename
    6924061