...Su Jin Lee; Jin Wan Cho; Jae Hyun Lee This paper provides the methodology of estimating the risk-return relationship of alternative asset investments within the mean-variance framework. While conducting strategic asset allocation, most of the institutional investors do not take into account...

... computes the optimal asset allocation ratio among the risk-free asset, risky assets, and option trading strategies in the viewpoint of rational investors who maximize the CRRA utility function. The results show that the historical returns on short position of ATM and OTM puts are too high to explain based...