If our regression model predicts an increasing trend of the DJIA from t + 1 to t + 2, we execute the long option, which changes the portfolio value V at t + 2 to V ( t + 2 ) = V ( t + 1 ) P ( t + 2 ) / P ( t + 1 ) .
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If our regression model predicts an increasing trend of the DJIA from t + 1 to t + 2, we execute the long option, which changes the portfolio value V at t + 2 to V ( t + 2 ) = V ( t + 1 ) P ( t + 2 ) / P ( t + 1 ) .