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 |