Journal of Financial & Quantitative Analysis. Feb2017, Vol. 52 Issue 1, p277-303. 27p.

最优期权组合策略：深入研究指数期权错误定价之谜

作者：José Afonso Faias (UCP–Cat?olica Lisbon School of Business & Economics)

Pedro Santa-Clara (Nova School of Business and Economics)

摘要：传统的资产配置方法（如均值方差优化模型）不能完全适用于期权组合，因为期权组合收益率不服从正态分布，并且可获得的期权回报率数据量较少，难以估计出它们的分布。我们借助能克服这个限制的短期目标函数，提出了一个可以优化欧式期权组合到期收益率的方法。样本外预测中，在我们考虑了实际交易成本的情况下，该组合策略仍能获得一个0.82的夏普比率和正向的偏度。这种绩效表现是通过利用期权间的错误定价的信息，而不是依赖于风险溢价的跳跃和波动实现的。

Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing.

José Afonso Faias (UCP–Cat?olica Lisbon School of Business & Economics)

Pedro Santa-Clara (Nova School of Business and Economics)

ABSTRACT

Traditional methods of asset allocation (such as mean–variance optimization) are not adequate for option portfolios because the distribution of returns is non-normal and the short sample of option returns available makes it difficult to estimate their distribution. We propose a method to optimize a portfolio of European options, held to maturity, with a myopic objective function that overcomes these limitations. In an out-of-sample exercise incorporating realistic transaction costs, the portfolio strategy delivers a Sharpe ratio of 0.82 with positive skewness. This performance is mostly obtained by exploiting mispricing between options and not by loading on jump or volatility risk premia.

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翻译：汪国颂