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