Skip to main content
Financial Innovation

Table 4 Comparative of results under different price analysis methods

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

 

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

Monte Carlo

0.0411

0.1423

0.2771

0.4506

0.3434

− 0.3883

Volatility correction

0.0429

0.1496

0.2755

0.4286

0.5523

− 0.4083

  1. This table shows the results of the option portfolio model under different forward price predictive methods. The portfolio is held to maturity and the adjustment frequency is monthly
Back to article page