A Synthetic Option Framework for Asset Allocation
提出一种合成期权策略，通过复制看涨期权收益模式，在股票和债券间动态配置资金，历史模拟显示1973-1983年期间在牛熊市均表现优异。
What if investors could buy a call option that would grant them the right to purchase, at the end of a performance measurement period, a full position in the better performing of either stocks or bonds? The appropriate investment strategy in that case wotuld be to invest in a riskless asset that portion of total funds sufficient to achieve a desired mninimum return over the period, and to use the remaining funds to purchase the multiple risky asset' call options. Although such options are not available in the marketplace, their return pattern can be replicated by a trading strategy utilizing stocks, bonds and cash. This involves taking positions in each risky asset and financing the positions by borrowing in the riskless asset. The investor takes larger positions in the risky assets as the assets perform well, along with a larger borrowing position, and smaller positions in the risky assets as they perform poorly, along with smaller borrowing positions. Historical simulations of the synthetic option asset allocation approach achieved good results in both bull and bear markets over the 1973-83 period. The compound perfornmance over the most recent three, five and 10-year holding periods ending in 1983 was not only first quartile, but first decile for the 10-year period and close to first decile for the other periods.