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Can simple technical analysis add value to index option selling investment strategies? To test this, I propose a dynamic allocation approach to construct option writing portfolios. Unlike the standard passive Buy-Write (covered call) and Collateralized Put-Write strategies, an active leveraged...
Persistent link: https://www.econbiz.de/10013125823
Draw-down losses from a previously reached maximum portfolio wealth level, is an important risk measure for investment management. In this study, we present a discrete trading strategy to directly control a portfolio's maximum percentage of drawdown within a target level while maximizing the...
Persistent link: https://www.econbiz.de/10013106879