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Table 7 The relationship between risk preference and out-of-sample performance of risk- free model

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

 

Mean

Std

SpR

MDD

Max

Min

\(\phi\) = 0.25

0.2671

0.5184

0.5121

0.8761

0.3614

− 0.8711

\(\phi\) = 0.5

0.1909

0.4056

0.4665

0.7776

0.3029

− 0.7533

\(\phi\) = 1

0.1148

0.2984

0.3791

0.4986

0.2742

− 0.4910

\(\phi\) = 1.5

0.0685

0.1734

0.3856

0.0368

0.2232

0.0000

\(\phi\) = 2

0.0462

0.1356

0.3285

0.0408

0.1953

0.0000

\(\phi\) = 2.5

0.0381

0.1081

0.3371

0.0646

0.1621

0.0000

\(\phi\) = 5

0.0250

0.0690

0.3374

0.0646

0.1328

0.0000

  1. This table displays how the forward price range \(\left[{S}_{0}\left(1-\varphi *\sigma \right),{S}_{0}\left(1+\varphi *\sigma \right)\right]\) of the underlying asset affects the risk-free model under different investor preferences \(\phi\). The out-of-sample performance is mainly compared from the mean, standard deviation, Sharpe ratio, maximum drawdown rate, maximum and minimum return