THE ECONOMIC VALUE OF STOCKS AND CALL OPTIONS ON THE SWEDISH FINANCIAL MARKET

被引：2
|
作者：
OSTERMARK, R
AALTONEN, J
机构：
[1] Department of Business Administration, Åbo Akademi University, FIN-20500 Åbo
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 1994年 / 74卷 / 02期
基金：
芬兰科学院;
关键词：
OPTIMAL INVESTMENT IN STOCK AND OPTION INSTRUMENTS; RECURSIVE PORTFOLIO SELECTION; PORTFOLIO EFFICIENCY;
D O I：
10.1016/0377-2217(94)90103-1
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
The intense trading activity and the very existence of organized stock option markets suggest that these financial contracts provide noticeable economic benefits as compared to trades on the stock market. In this paper, we test the efficiency of recursive optimization strategies on a combined portfolio of stocks and call options series listed on the Swedish stock market. For comparison, the same recursive optimization is performed on a portfolio purely consisting of stocks. The portfolio efficiency of the recursive optimization strategy is also compared to results obtained with call options using a Black-Scholes strategy.
引用
收藏
页码：359 / 377
页数：19
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