考虑时变波动率影响的最优期权投资组合

Optimal option portfolio with time-varying volatility

本文基于上证50ETF期权,构建单期模型求解最优期权组合问题.我们采用GARCH模型和GJR-ST模型来刻画标的50ETF日对数收益率的动态过程,采用蒙特卡罗模拟法生成标的资产在期权到期日的价格分布.样本外实证结果表明,GARCH模型和GJR-ST模型构建的最优期权组合都能获得显著为正的样本外平均收益.而相比于GARCH模型,GJR-ST模型能更好地管理波动率风险,因而可以获得更高的收益风险比.

In this paper,we develop a one-period model to solve the optimal option portfolio problem for SSE 50ETF options.We use the GARCH model and GJR-ST model to describe the dynamic process of the daily logarithmic return of the underlying 50ETF,and use Monte Carlo simulation method to generate the price distribution of the underlying on the option maturity date.The out-of-sample empirical results show that the option portfolio constructed by GARCH model and GJR-ST model can both obtain significantly positive out-of-sample average returns.Meanwhile,compared with GARCH model,GJR-ST model can better manage the volatility risk,so it can obtain higher return-risk ratios.