Improving Portfolio Performance with Option Strategies: Evidence from Switzerland

34 Pages Posted: 26 May 2006

See all articles by Dušan Isakov

Dušan Isakov

University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences

Bernard Morard

HEC, University of Geneva

Multiple version iconThere are 2 versions of this paper

Date Written: March 2001

Abstract

This paper investigates the performance of a global investment strategy that combines diversification and option strategies, in particular the covered call strategy, on the Swiss Exchange over the period 1989-1996. As the return distributions of portfolios including options are possibly non-normal, the mean-variance framework may not be appropriate to assess the relative performance of such portfolios. Stochastic dominance and modified betas are the alternative approaches, robust to departure from normality, used in this paper to compare the performance of portfolios. The results show that the use of option strategies consistently improves the performance of stock portfolios, even in the presence of transaction costs.

Suggested Citation

Isakov, Dušan and Morard, Bernard, Improving Portfolio Performance with Option Strategies: Evidence from Switzerland (March 2001). Available at SSRN: https://ssrn.com/abstract=904605 or http://dx.doi.org/10.2139/ssrn.904605

Dušan Isakov (Contact Author)

University of Fribourg (Switzerland) - Faculty of Management, Economics and Social Sciences ( email )

Fribourg, CH 1700
Switzerland

HOME PAGE: http://www3.unifr.ch/cgf/en/

Bernard Morard

HEC, University of Geneva ( email )

40 Boulevard du Pont d'Arve
Geneva 4, Geneva 1211
Switzerland