Journal of Empirical Finance· 2026Q1
Options portfolio selection with position limits
- 1citations
- Q1SCImago
- 2026year
Short summary
Index-neutral options strategies using mean-variance optimization with position limits and transaction costs yielded Sharpe ratios between 1 and 2 for S&P 500 and Nasdaq 100, but less than 0.5 for the Dow Jones.
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