Intelligent option portfolio model with perspective of shadow price and risk-free profit

Financial Innovation

Table 3 Performance of 50 ETFs and different option models

	Mean	Std	Sharpe Ratio	MDD	Max	Min
50ETF	0.0064	0.0733	0.0653	0.1252	0.2446	− 0.2890
Intelligent option model	0.0838	0.1525	0.5385	0.2742	0.7634	− 0.1647
Risk-free model	0.0685	0.1734	0.3856	0.0368	1.2326	0.0000
CRRA option model	0.0731	0.1505	0.4746	0.2611	0.6763	− 0.2039
CVaR option model	0.0599	0.1423	0.4095	0.2178	0.7424	− 0.1430

This table displays the out-of-sample performance of 50ETF index and different option strategies with one month adjustment frequency. The performance of different strategies is judged from six dimensions (mean, variance, Sharpe ratio, maximum drawdown, maximum and minimum monthly return), and the bold content indicates the best numerical result