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Portfolio optimization with options
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Resumo(s)
In order to address the options returns non normality problem
in the investment portfolio theory, this work project aims to discuss
and present alternatives to the classic Markowitz risk/return
paradigm. The following pages will exploit the Portfolio Selection
Theory developed over the last decade, maximizing a standard CRRA
utility function, and simulating (MonteCarlo) or deriving from the past
data (Bootstrap) the path taken by the S&P 500 stock Index. To
conclude, a 5 year back test is developed to evidence the practical
implications of the several models exposed.
Descrição
A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics