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

Financial Innovation

Table 8 Performance of 50ETF, intelligent option model, and risk-free model under multi-asset

Index and model		Mean	Std	SpR	MDD	Max	Min
Underlying	50ETF	0.0058	0.0525	0.0782	0.1703	0.1271	− 0.0882
asset	300ETF	0.0101	0.0513	0.1651	0.1042	0.1369	− 0.0731
Intelligent option model	Multi-asset option model 50ETF option model 300ETF option model	0.1267	0.1468	0.8519	0.1497	0.4252	− 0.1447
		0.1066	0.1258	0.8339	0.0522	0.4252	− 0.0472
		0.1889	0.3065	0.6109	0.4135	0.9986	− 0.2909
Risk-free model	Multi-asset risk-free model 50ETF risk-free model 300ETF risk-free model	0.0557 0.0397 0.0602	0.1358 0.0987 0.1750	0.3980 0.3856 0.3343	0.0149 0.0248 0.0199	0.5798 0.4563 0.8021	0.0000 0.0000 0.0000

This table displays the out-of-sample performance of benchmark index, multi-asset option model, 50ETF option model, and 300ETF option model with one month adjustment frequency. For risk-free model setting, the experimental design is the same as subsection 4.2. The performance of different models is judged from six dimensions (mean, variance, Sharpe ratio, maximum drawdown, maximum return and minimum return), and the bold content indicates the best numerical result