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Homeen-gbSmaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferencesThe authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poorâ€™s 500 (S&P 500) index returns and to produce portfolios with smaller drawdowns and far higher risk-adjusted returns than the S&P 500 index.
https://www.risk.net/journal-of-investment-strategies/7706871/smaller-drawdowns-higher-average-and-risk-adjusted-returns-for-equity-portfolios-using-options-and-power-log-optimization-based-on-a-behavioral-model-of-investor-preferences
https://www.risk.net/journal-of-investment-strategies/7706871/smaller-drawdowns-higher-average-and-risk-adjusted-returns-for-equity-portfolios-using-options-and-power-log-optimization-based-on-a-behavioral-model-of-investor-preferences
Mon, 09 Nov 2020 08:28:13 +0000