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Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990–1999
Linköping University, Department of Mathematics, Optimization . Linköping University, The Institute of Technology.
Linköping University, Department of Mathematics, Optimization . Linköping University, The Institute of Technology.
2003 (English)In: Journal of Economic Dynamics and Control, ISSN 0165-1889, E-ISSN 1879-1743, Vol. 27, no 6, 1099-1112 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Amsterdam, Netherlands: Elsevier, 2003. Vol. 27, no 6, 1099-1112 p.
Keyword [en]
Portfolio optimization; Derivatives
National Category
Mathematics
Identifiers
URN: urn:nbn:se:liu:diva-22326DOI: 10.1016/S0165-1889(02)00056-8ISI: 000180646100009Local ID: 1526OAI: oai:DiVA.org:liu-22326DiVA: diva2:242639
Available from: 2009-10-07 Created: 2009-10-07 Last updated: 2017-12-13Bibliographically approved

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Blomvall, JörgenLindberg, Per Olov

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  • de-DE
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  • nn-NB
  • sv-SE
  • Other locale
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