Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing
针对期权收益分布非正态和样本短的问题，提出一种欧式期权组合优化方法，在考虑交易成本后实现夏普比率0.82且偏度为正，主要通过利用期权间错误定价而非承担跳跃或波动风险溢价来获得表现。
Traditional methods of asset allocation (such as mean–variance optimization) are not adequate for option portfolios because the distribution of returns is non-normal and the short sample of option returns available makes it difficult to estimate their distribution. We propose a method to optimize a portfolio of European options, held to maturity, with a myopic objective function that overcomes these limitations. In an out-of-sample exercise incorporating realistic transaction costs, the portfolio strategy delivers a Sharpe ratio of 0.82 with positive skewness. This performance is mostly obtained by exploiting mispricing between options and not by loading on jump or volatility risk premia.