{"title":"带有选项的动态资产配置","authors":"Joseph Clark, R. Swan","doi":"10.2139/ssrn.3560661","DOIUrl":null,"url":null,"abstract":"We derive replicating portfolios for some commonly used dynamic trading rules. In particular, we show that two commonly used dynamic rules can be replicated with static option portfolios. These replicating portfolios are more precise than the corresponding dynamic rules in the sense that the exposure is always correct at each price. For a rule that changes notional exposure linearly with price the error is linear in variance.","PeriodicalId":293888,"journal":{"name":"Econometric Modeling: Derivatives eJournal","volume":"7 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Dynamic Asset Allocation With Options\",\"authors\":\"Joseph Clark, R. Swan\",\"doi\":\"10.2139/ssrn.3560661\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We derive replicating portfolios for some commonly used dynamic trading rules. In particular, we show that two commonly used dynamic rules can be replicated with static option portfolios. These replicating portfolios are more precise than the corresponding dynamic rules in the sense that the exposure is always correct at each price. For a rule that changes notional exposure linearly with price the error is linear in variance.\",\"PeriodicalId\":293888,\"journal\":{\"name\":\"Econometric Modeling: Derivatives eJournal\",\"volume\":\"7 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-03-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Derivatives eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3560661\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Derivatives eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3560661","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We derive replicating portfolios for some commonly used dynamic trading rules. In particular, we show that two commonly used dynamic rules can be replicated with static option portfolios. These replicating portfolios are more precise than the corresponding dynamic rules in the sense that the exposure is always correct at each price. For a rule that changes notional exposure linearly with price the error is linear in variance.