Research Article
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 |
|
|