Portfolio Optimization Model with and without Options under Additional Constraints

Table 3

Comparison of Sharpe ratios 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	−0.8921	−0.0876	−0.1892
K = 20	−0.4370	0.9088	−0.2115
K = 30	0.0495	1.4657	0.0155
K = 40	0.3472	1.6589	0.0160