Research Article
Portfolio Optimization Model with and without Options under Additional Constraints
Table 2
Comparison of returns of models (
4), (
10), and (
15) with the data of S&P index data, with
stocks for 2016–2018 when
.
| Number of stocks | Model (4) | Model (10) | Model (15) |
| K = 10 | 0.0135 | 0.0282 | 0.0214 | K = 20 | 0.0227 | 0.0500 | 0.0206 | K = 30 | 0.0309 | 0.0666 | 0.0291 | K = 40 | 0.0367 | 0.0773 | 0.0297 |
|
|