옵션 투자의 효용-포트폴리오 관점

This paper pay attention to return anomalies in option markets such as the overpricing of OTM (out of the money) put options and ATM (at the money) straddles. A lot of previous studies, including Coval and Shumway (2001), Bondarenko (2003), Driessen and Maenhout (2007), and Broadie et al.(2009), reported that the reward for bearing the risk of selling OTM put options and ATM straddles is evidently greater than reasonably expected. Therefore, from a point of institutional investors or large pension funds that have a relative advantage in margin or transaction cost, it would be possible to improve the performance of the optimal portfolio by using OTM put options and ATM straddles. In this paper, we investigate the benefits of these option strategies from a purely empirical portfolio perspective. Optimal portfolio strategies with access to option markets are considered not only for a traditional power utility investor, but also for a non-expected utility investor such as a loss aversive investor. In addition, various performance measures of a portfolio such as the Sharpe ratio, the Omega, the Sortino ratio, and the shortfall probability etc are also considered to gather the industrial view. Finally, to examine the structural change in results before and after the global financial crisis in 2008, the subsample analysis is also employed. Using KOSPI200 index option data from 2004 to 2013, we found four main findings. First, the KOSPI200 OTM put options and ATM straddles yield extremely negative returns for our sample period, and thus a traditional power utility investor can increase the performance of her optimal portfolio by selling OTM put options and ATM straddles. This finding is valid regardless of the investor’s risk averseness, and is consistent with the results in previous studies. Second, the optimal portfolio including short option strategies outperform, in performance measured by the Sharpe ratio, the Omega, the Sortino ratio, and the shortfall probability etc, the optimal portfolio constructed without access to option markets. Third, under anticipated utility theory with decision weights equal to the transformation function of Tversky and Kahneman (1992), one of the alternative theories selected in this paper, it could be optimal to buy OTM put options and ATM straddles. Finally, the empirical results from our subsample analysis are not generally consistent with the results from the full sample analysis. Especially, in the case of the period before the global financial crisis in 2008, optimal investment weights in OTM put options and ATM straddles are found to be positive even for a traditional power utility investor. However, considering that our subsample periods are too short to cover the full business cycle, it would be more desirable to interpret the subsample results as those only applicable to a specific market environment, rather than to interpret the results in a comprehensive way. As with all studies, this study has limitations, and the results need to be carefully understood. First, this study examined the benefits of option investments from a purely empirical view, and thus the results depend on market environments. For example, if the return anomalies such as the overpricing of OTM put options and ATM straddles disappear, then the main results of this study would be entirely changed. Therefore an investor, who wants to use our results to determine her optimal portfolio, should keep watching market changes. Next, we did not consider the factors associated with market frictions such as margin requirements and transaction costs. To enhance the practical implications of this study, these factors should be considered in advance.