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
Link To Document