Journal of Financial & Quantitative Analysis. Feb2017, Vol. 52 Issue 1, p277-303. 27p.
最优期权组合策略👨🏽💻：深入研究指数期权错误定价之谜
作者🛢：José Afonso Faias (UCP–Cat?olica Lisbon School of Business & Economics)
Pedro Santa-Clara (Nova School of Business and Economics)
摘要🤘🏿：传统的资产配置方法（如均值方差优化模型）不能完全适用于期权组合🎤，因为期权组合收益率不服从正态分布，并且可获得的期权回报率数据量较少🥭，难以估计出它们的分布。我们借助能克服这个限制的短期目标函数，提出了一个可以优化欧式期权组合到期收益率的方法。样本外预测中，在我们考虑了实际交易成本的情况下💀，该组合策略仍能获得一个0.82的夏普比率和正向的偏度😺。这种绩效表现是通过利用期权间的错误定价的信息，而不是依赖于风险溢价的跳跃和波动实现的。
Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing.
José Afonso Faias (UCP–Cat?olica Lisbon School of Business & Economics)
Pedro Santa-Clara (Nova School of Business and Economics)
ABSTRACT
Traditional methods of asset allocation (such as mean–variance optimization) are not adequate for option portfolios because the distribution of returns is non-normal and the short sample of option returns available makes it difficult to estimate their distribution. We propose a method to optimize a portfolio of European options, held to maturity, with a myopic objective function that overcomes these limitations. In an out-of-sample exercise incorporating realistic transaction costs, the portfolio strategy delivers a Sharpe ratio of 0.82 with positive skewness. This performance is mostly obtained by exploiting mispricing between options and not by loading on jump or volatility risk premia.
原文链接: http://web.b.ebscohost.com/ehost/detail/detail?vid=7&sid=5c358916-0e42-4a05-99ad-f7d1be1fbf2e%40pdc-v-sessmgr01&bdata=Jmxhbmc9emgtY24mc2l0ZT1laG9zdC1saXZl#AN=122423008&db=bth
翻译：汪国颂
