| |
| |
| Introduction | |
| |
| |
| |
| Criteria as the Basis of a Systematic Approach | |
| |
| |
| |
| General Presentation and Review of Criteria Properties | |
| |
| |
| |
| The Main Tool for Solving the Selection Problem | |
| |
| |
| |
| Formal Definition | |
| |
| |
| |
| Philosophy of Criteria Creation | |
| |
| |
| |
| Mission Fulfilled by Criteria | |
| |
| |
| |
| Forecast as a Key Element of the Criterion | |
| |
| |
| |
| Classification of Criteria | |
| |
| |
| |
| Universal Criteria | |
| |
| |
| |
| Specific (Nonuniversal) Criteria | |
| |
| |
| |
| Review of the Main Criteria | |
| |
| |
| |
| Criteria Based on Lognormal Distribution | |
| |
| |
| |
| Description of Lognormal Distribution | |
| |
| |
| |
| Expected Profit on the Basis of Lognormal Distribution | |
| |
| |
| |
| Profit Probability on the Basis of Lognormal Distribution | |
| |
| |
| |
| Criteria Based on Empirical Distribution | |
| |
| |
| |
| Description of Empirical Distribution | |
| |
| |
| |
| Expected Profit on the Basis of Empirical Distribution | |
| |
| |
| |
| Profit Probability on the Basis of Empirical Distribution | |
| |
| |
| |
| Simplified Calculation Algorithm | |
| |
| |
| |
| Modifications of Empirical Distribution | |
| |
| |
| |
| Criteria Based on the Ratio of Expected Profit to Loss | |
| |
| |
| |
| Basic Concept and Criteria Calculation Method | |
| |
| |
| |
| Criteria Calculation Example | |
| |
| |
| |
| Criteria Based on Expert Distribution | |
| |
| |
| |
| Basic Concept and Criteria Calculation Method | |
| |
| |
| |
| Set of Standard Distributions | |
| |
| |
| |
| Combining Separate Standard Distributions into a Unified Probability Density Function | |
| |
| |
| |
| Criteria Calculation on the Basis of the Unified Probability Density Function | |
| |
| |
| |
| Construction and Valuation of Complex Strategies Based on the Unified Probability Density Function | |
| |
| |
| |
| Specific (Nonuniversal) Criteria | |
| |
| |
| |
| Break-Even Range | |
| |
| |
| |
| IV/HV Ratio | |
| |
| |
| |
| Relative Frequency Criterion | |
| |
| |
| |
| The Ratio of Normalized Time Value to the Coefficient of Absolute Price Changes Distribution | |
| |
| |
| |
| Evaluation of Criteria Effectiveness | |
| |
| |
| |
| Introduction | |
| |
| |
| |
| Methods of Criteria Effectiveness Evaluation | |
| |
| |
| |
| Correlation Between a Criterion and Profit as the Main Effectiveness Indicator | |
| |
| |
| |
| Transformation of the Criteria Effectiveness Indicator | |
| |
| |
| |
| The Dynamics of Transformed Effectiveness Indicators | |
| |
| |
| |
| Selection of the Averaging Period | |
| |
| |
| |
| Peculiarities of Criteria Effectiveness Evaluation | |
| |
| |
| |
| Number of Combinations Used in the Analysis | |
| |
| |
| |
| Expressing Profit | |
| |
| |
| |
| Expressing Effectiveness Indicators | |
| |
| |
| |
| Review of Criteria Effectiveness Indicators | |
| |
| |
| |
| Correlation Between Criterion and Profit Values | |
| |
| |
| |
| Correlation Between a Criterion and Profit Indexes | |
| |
| |
| |
| Correlation Between the Sharpe Ratios of Criterion and Profit | |
| |
| |
| |
| Areas Ratio | |
| |
| |
| |
| Other Effectiveness Indicators | |
| |
| |
| |
| Summary | |
| |
| |
| |
| The Main Areas of Criteria Application | |
| |
| |
| |
| Selection of Option Combinations | |
| |
| |
| |
| Introduction | |
| |
| |
| |
| Analysis of Criteria Effectiveness in the Selection of Option Combinations | |
| |
| |
| |
| Factors That Affect Option Combinations Selection | |
| |
| |
| |
| Absolute Values of the Criterion | |
| |
| |
| |
| Strategy and Underlying Assets | |
| |
| |
| |
| Simultaneous Analysis of Factors Affecting Combinations Selection | |
| |
| |
| |
| Multistrategy, Long-Term Evaluation of Criteria Effectiveness | |
| |
| |
| |
| Methods | |
| |
| |
| |
| Results | |
| |
| |
| |
| Summary | |
| |
| |
| |
| Selection of Option Strategies | |
| |
| |
| |
| Introduction | |
| |
| |
| |
| Evaluation of Criterion Effectiveness by Ranking Analysis | |
| |
| |
| |
| Methods of Ranking Analysis | |
| |
| |
| |
| Results of Ranking Analysis | |
| |
| |
| |
| Generalized Ranking Analysis and Introduction of the Threshold Parameter | |
| |
| |
| |
| Results of Generalized Ranking Analysis | |
| |
| |
| |
| Maximum Obtainable Values of the Criterion Effectiveness Coefficient | |
| |
| |
| |
| Traditional Methods of Evaluating the Criterion Effectiveness | |
| |
| |
| |
| Synthetic Approach to Criterion Effectiveness Analysis | |
| |
| |
| |
| The Model for Optimizing the Threshold Parameter | |
| |
| |
| |
| Summary | |
| |
| |
| |
| Selection of Underlying Assets | |
| |
| |
| |
| Introduction | |
| |
| |
| |
| Analysis of Criteria Effectiveness in Selection of Underlying Assets | |
| |
| |
| |
| Multistrategy, Long-Term Evaluation of Criteria Effectiveness | |
| |
| |
| |
| Methods | |
| |
| |
| |
| Results | |
| |
| |
| |
| The Optimization Model for the Number of Underlying Assets | |
| |
| |
| |
| Utility Indicators | |
| |
| |
| |
| Utility Functions | |
| |
| |
| |
| Convolution of Utility Functions and Deriving Optima for Different Strategies and Criteria | |
| |
| |
| |
| Summary | |
| |
| |
| |
| Multicriteria Analysis | |
| |
| |
| |
| Basic Concepts of Multicriteria Selection as Applied to Options | |
| |
| |
| |
| Introduction | |
| |
| |
| |
| The Pareto Set | |
| |
| |
| |
| The Algorithm of Forming the Pareto Set | |
| |
| |
| |
| Widening the Pareto Set and the "Layer" Notion | |
| |
| |
| |
| Convolution | |
| |
| |
| |
| Comparative Analysis of Multicriteria and Monocriterion Selection Effectiveness | |
| |
| |
| |
| Comparative Analysis of Two Multicriteria Selection Methods: Pareto Versus Convolution | |
| |
| |
| |
| Summary | |
| |
| |
| |
| The Impact of Criteria Correlation on Multicriteria Selection | |
| |
| |
| |
| Introduction | |
| |
| |
| |
| Evaluation of Criteria Interrelationship | |
| |
| |
| |
| Criteria Correlation and Profitability of Pareto Selection | |
| |
| |
| |
| Criteria Correlation and Profitability of Selection Using the Convolution Method | |
| |
| |
| |
| Summary | |
| |
| |
| Conclusion | |
| |
| |
| Bibliography | |
| |
| |
| Appendix Basic Notions | |
| |
| |
| Index | |