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Improving Portfolio Performance with Option Strategies: Evidence from Switzerland

Author

Listed:
  • Isakov, D.
  • Morard, B.

Abstract

This 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.

Suggested Citation

  • Isakov, D. & Morard, B., 1997. "Improving Portfolio Performance with Option Strategies: Evidence from Switzerland," Papers 97.21, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
  • Handle: RePEc:fth:ehecge:97.21
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Jegadeesh, Narasimhan, 1992. "Does Market Risk Really Explain the Size Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 337-351, September.
    3. Ravi Jagannathan & Ellen R. McGrattan, 1995. "The CAPM debate," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall, pages 2-17.
    4. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 101-116, March.
    5. Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
    6. Modigliani, Franco. & Pogue, G. A., 1973. "A test of the capital asset pricing model on European stock markets," Working papers 667-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    7. Affleck-Graves, J. F. & Bradfield, D. J., 1993. "An examination of the power of Univariate tests of the CAPM: A simulation approach," Journal of Economics and Business, Elsevier, vol. 45(1), pages 17-33, February.
    8. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
    9. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
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    Cited by:

    1. 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.
    2. 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.
    3. Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung, 2012. "Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 162-174.

    More about this item

    Keywords

    FINANCIAL MARKET ; INVESTMENTS;

    JEL classification:

    • 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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