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首页> 外文期刊>The North American journal of economics and finance >Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options
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Implied Sharpe ratios of portfolios with options: Application to Nikkei futures and listed options

机译：带有期权的投资组合的隐含夏普比率：适用于日经指数期货和上市期权

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摘要

We propose a criterion for portfolio selection, implied excess Sharpe ratio. The implied excess Sharpe ratio is intended as an excess Sharpe ratio (versus the underlying stock) that investors can expect to enjoy from portfolios that include options and is a useful ex ante indicator that can be easily calculated. There are a variety of ways to include options in a portfolio, but we theoretically show that the combination that produces the largest implied excess Sharpe ratio is the best way to maximize the short-term Sharpe ratio. The selection process uses implied excess Sharpe ratio, which is easily calculated from stock lending fees implied by stock prices and actual stock lending fee. It does not require historical simulation or prediction of share price average growth rates and is highly transparent as it can be easily reproduced (at a low calculation cost). Hence, the implied excess Sharpe ratio is a simple but effective tool for investors seeking returns in exchange for a certain amount of risk that want to use the options market efficiently. The short-term Sharpe ratio is not necessarily the only criterion, but is a rational benchmark of portfolio performance closely related to criteria such as the long-term Sharpe ratio and maximum drawdown. To examine the benefit of the concept, we construct an investment strategy that automatically selects from multiple candidate portfolios that are made up of combinations of Nikkei futures and Nikkei listed options the portfolio with the largest implied excess Sharpe ratio. Back-testing shows that this investment strategy performs well over the long term as well.
机译：我们提出了投资组合选择的标准，即隐含的夏普比率。隐含的过量夏普比率是指投资者可以从包括期权在内的投资组合中获得的预期夏普比率（相对于基础股票），这是一个易于计算的有用的事前指标。有多种方法可以将期权包括在投资组合中，但是我们从理论上证明，产生最大隐含超额夏普比率的组合是最大化短期夏普比率的最佳方法。选择过程使用隐含的超额Sharpe比率，该比率很容易从股价隐含的股票借贷费用和实际股票借贷费用中计算得出。它不需要历史模拟或股价平均增长率的预测，并且高度透明，因为它易于复制（计算成本低）。因此，隐含的超额夏普比率对于寻求回报以换取想要有效利用期权市场的一定风险的投资者而言，是一种简单而有效的工具。短期夏普比率不一定是唯一标准，而是与长期夏普比率和最大跌幅等标准密切相关的投资组合绩效的合理基准。为了检验该概念的好处，我们构建了一种投资策略，该策略自动从由日经期货和日经上市期权组合组成的多个候选投资组合中选择具有最大隐含夏普比率的投资组合。回测表明，该投资策略从长期来看也表现良好。

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