Improving Portfolio Performance with Option Strategies: Evidence from Switzerland
AbstractThis paper presents a simulation of a global investment strategy that combines diversification and option strategies, in particular the covered call strategy, on the Swiss Exchange.
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Bibliographic InfoPaper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number 97.21.
Length: 30 pages
Date of creation: 1997
Date of revision:
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Postal: Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse
Phone: (+ 41 22) 705-8263
Fax: (+ 41 22) 705-8293
Web page: http://www.unige.ch/gsem/
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FINANCIAL MARKET ; INVESTMENTS;
Other versions of this item:
- Dusan Isakov & Bernard Morard, 2001. "Improving Portfolio Performance with Option Strategies: Evidence from Switzerland," European Financial Management, European Financial Management Association, vol. 7(1), pages 73-91.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Mugwagwa, Tafadzwa & Ramiah, Vikash & Naughton, Tony & Moosa, Imad, 2012. "The efficiency of the buy-write strategy: Evidence from Australia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(2), pages 305-328.
- Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
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