Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets

Round 1

Reviewer 1 Report

I have read this paper and find that this is interesting, well conducted research, even if not groundbreaking. The paper clearly deserves publication. I have no specific comment

Author Response

We are grateful for the valuable comments from you.

Reviewer 2 Report

The paper is relevant and deals with a topical problem of portfolio formation using derivatives. However, some places need improvement:

• Mean-variance optimization problem was first introduced by H. Markowitz in 1952 in his famous work "Portfolio selection", which is not cited in the manuscript. Moreover, next to citing H. Markowitz in the text, it is referenced to the literature source No 29, which is incorrectly described as (Miller, M.H. Portfolio selection: Efficient diversification of investments., 1960.). Please, clarify these origins of portfolio formation and adequately cite them.

• 2.1 subchapter would better be titled "Data". Overall, the data description is relatively brief. In section 2.1, a reference to more detailed tables with data in Appendix A should be indicated.

• It should be specified what computer tools/programs/programming languages were used to create and implement the algorithms.

• In the section "Results and Discussion", only one reference is mentioned, and the section is concluded with figures. In this part, more discussion elements should be included, such as explaining the value of the research and comparing the obtained results with the previously obtained results of other authors – how the current study contributes to the literature on this topic? Are the results similar or different from those of previous findings? Possibly, a separate Discussion sub-section could be added.

• In the Conclusions part, the limitations of the research, theoretical and practical implications are missing.

 

Author Response

We are grateful for the valuable comments from you. The responses and the revised manuscript are attached.

Author Response File: Author Response.pdf

Reviewer 3 Report

A file with the report is attached.

Comments for author File: Comments.pdf

Author Response

We are grateful for the valuable comments from you. The responses and the revised manuscript are attached.

Author Response File: Author Response.pdf

Round 2

Reviewer 2 Report

The authors performed a great work improving the manuscript. However, some editable places have been left:

The authors have added the famous H.Markowitz work of 1952. But literature position No 29 still stands for Miller’s review of the Markowitz work. Moreover, it is not fully described. It was a review published in the journal, so the volume and number should be added, clearly stating that it is the review of the Markowitz work. For example, the detailed description of this source could be found here:

https://www.jstor.org/stable/2350928

Overall, I wish you good luck with the publication.

Author Response

Thank you for the opportunity to resubmit the revised manuscript. The remaining suggestions have been addressed. The manuscript has been edited, see the details in the attached file.

Author Response File: Author Response.pdf

Reviewer 3 Report

A file with the report is attached.

Comments for author File: Comments.pdf

Author Response

Thank you for the opportunity to resubmit the revised manuscript. The remaining suggestions have been addressed. The manuscript has been edited, see the details in the attached file.

Author Response File: Author Response.pdf