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Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999

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  • Blomvall, Jorgen
  • Lindberg, Per Olov

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  • Blomvall, Jorgen & Lindberg, Per Olov, 2003. "Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990-1999," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1099-1112, April.
    • Handle: RePEc:eee:dyncon:v:27:y:2003:i:6:p:1099-1112
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    3. Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003. "Hedging options under transaction costs and stochastic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April.
    4. Harry M. Markowitz, 2011. "Investment for the Long Run: New Evidence for an Old Rule," World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 35, pages 495-508, World Scientific Publishing Co. Pte. Ltd..
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    11. Vassiadou-Zeniou, Christiana & Zenios, Stavros A., 1996. "Robust optimization models for managing callable bond portfolios," European Journal of Operational Research, Elsevier, vol. 91(2), pages 264-273, June.
    12. Golub, Bennett & Holmer, Martin & McKendall, Raymond & Pohlman, Lawrence & Zenios, Stavros A., 1995. "A stochastic programming model for money management," European Journal of Operational Research, Elsevier, vol. 85(2), pages 282-296, September.
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    14. Robert R. Grauer and Nils H. Hakansson., 1987. "Gains from International Diversification: l968-85 Returns on Portfolios of Stocks and Bonds," Research Program in Finance Working Papers 168, University of California at Berkeley.
    15. John M. Mulvey, 1996. "Generating Scenarios for the Towers Perrin Investment System," Interfaces, INFORMS, vol. 26(2), pages 1-15, April.
    16. Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
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    Cited by:

    1. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2011. "Optimizing international portfolios with options and forwards," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3188-3201.
    2. Libo Yin & Liyan Han, 2013. "Options strategies for international portfolios with overall risk management via multi-stage stochastic programming," Annals of Operations Research, Springer, vol. 206(1), pages 557-576, July.
    3. Marco Cassader & Sergio Ortobelli Lozza, 2013. "Portfolio selection with options," Working Papers (2013-) 1303_qum, University of Bergamo, Department of Management, Economics and Quantitative Methods.
    4. Libo Yin & Liyan Han, 2020. "International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 383-405, February.
    5. Gao, Jianwei, 2010. "An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 511-530, June.
    6. Gao, Jianwei, 2008. "Stochastic optimal control of DC pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1159-1164, June.
    7. Simone Farinelli & Luisa Tibiletti, 2015. "Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective," Papers 1508.05837, arXiv.org, revised Aug 2017.
    8. Gao, Jianwei, 2009. "Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 9-18, August.
    9. Gao, Jianwei, 2009. "Optimal portfolios for DC pension plans under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 479-490, June.
    10. Barro, Diana & Consigli, Giorgio & Varun, Vivek, 2022. "A stochastic programming model for dynamic portfolio management with financial derivatives," Journal of Banking & Finance, Elsevier, vol. 140(C).
    11. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.

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