From: Intelligent option portfolio model with perspective of shadow price and risk-free profit
L | Mean | Std | SpR | MDD | Max | Min |
---|---|---|---|---|---|---|
1 | 0.0142 | 0.0307 | 0.4084 | 0.0669 | 0.1540 | − 0.0316 |
2 | 0.0317 | 0.0613 | 0.4899 | 0.1218 | 0.3063 | − 0.0649 |
3 | 0.0492 | 0.0920 | 0.5171 | 0.1746 | 0.4587 | − 0.0982 |
4 | 0.0667 | 0.1226 | 0.5307 | 0.2254 | 0.6110 | − 0.1314 |
5 | 0.0838 | 0.1525 | 0.5385 | 0.2742 | 0.7634 | − 0.1647 |
6 | 0.1018 | 0.1839 | 0.5443 | 0.3211 | 0.9157 | − 0.1980 |
7 | 0.1193 | 0.2146 | 0.5480 | 0.3662 | 1.0680 | − 0.2312 |
8 | 0.1367 | 0.2452 | 0.5507 | 0.4094 | 1.2204 | − 0.2645 |
9 | 0.1543 | 0.2759 | 0.5534 | 0.4507 | 1.3727 | − 0.2978 |
10 | 0.1720 | 0.3065 | 0.5555 | 0.4903 | 1.5251 | − 0.3311 |