To examine the familiar tradeoff between risk and return in financial investments, we use a rolling two-stage stochastic program to compare mean-risk optimization models with time series momentum strategies. In a backtest of allocating investment between a market index and a risk-free asset, we...

In this paper, we study the problem of option portfolio design under the Markowitz mean-variance framework. We extend the common practice of a pure-stock portfolio and include options in the design. The options returns are modeled statistically with first- and second-order moments, enriching the...

This paper examines the performance from 1996 to 2020 of mean-variance efficient portfolios of monthly options with all available strikes on each of the S&P 500, Nasdaq 100, and Dow Jones indexes, using a constrained optimization approach that incorporates position limits, transaction costs, and...

Derivatives strategies that aim to earn variance risk premiums are exposed to sharp price declines during market crises, calling into question their suitability for the longterm investor. Our paper defines, analyzes, and proposes potential solutions to three problems (payoff, leverage and finite...

We examine times series momentum and covered call strategies through conventional representations across 10 asset classes. The performance of the two strategies generally outperform static buy and hold investments and they are classified as positive and negative autocorrelation factors. The...

This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...

Relying on a latent factor model with time-varying temporal dependence of systematic risk and mispricing on firm and option characteristics, we reveal economically substantial mispricing in the options market. The portfolio based on individual options alphas related to characteristics earns an...

Analyzing over 15 years of account-level trading records from Finland, we show that option features-expiration, moneyness, and the strike price-influence the behavior of retail investors and exacerbate their behavioral biases. Retail investors selectively exploit the expiration feature of...

The paper is focused on an ex-post investment performance analysis. Firstly, we create a suite of return, risk, return to risk and benchmark related measures with immediate real life applications in mind. We define and describe these measures and provide real data examples where appropriate....