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Table 10 Parameter sensitivity analysis of L in intelligent option model

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

  1. This table presents the sensitivity analysis of the upper leverage limit L in the Model (5), where L varies from 1 to 10 in equal intervals. The results compare the mean, standard deviation, Sharpe ratio, MDD, and maximum and minimum values of returns for different L