Enhanced indexation using both equity assets and index options
A 2026 paper by Valle and Beasley on options trading strategies in volatility and options, on a 2017–2025 sample: the abstract mentions an out-of-sample test and leaves out a benchmark, transaction costs, multiple testing and the size of the universe.
“Our computational results indicate that introducing option strategies in an enhanced indexation setting offers clear benefits in terms of improved out-of-sample performance.”
AssetVolatility and optionsoptions, ETFs
StrategyOptions strategiesportfolio optimization
FrequencyDaily
Sample window2017–2025
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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