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| Author: | Isakov, D. Morard, B. |
| Title: | Improving portfolio performance with option strategies: evidence from Switzerland |
| Journal: | European Financial Management
2001 : MAR, VOL. 7:1, p. 73-91 |
| Index terms: | CALL OPTIONS DIVERSIFICATION HEDGING PORTFOLIO MANAGEMENT STOCHASTIC PROCESSES STRATEGY SWITZERLAND |
| Language: | eng |
| 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 1989-96. The results show that the use of option strategies consistently improves the performance of stock portfolios, even in the presence of transaction costs. |
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