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 :
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