The problem tried to solve in this paper is how a highly efficient option-based portfolio which has rational components and good performance could be established. The approaches adopted to deal with the problem are literature review and empirical analysis methods. The former is used to determine the framework of this investigation, and the latter is used to deduce the detailed outcomes. The result obtained in this research is that the technical indicator analysis method combined with Black-Scholes option pricing model and modern portfolio theory is a good way to create an efficient investment portfolio without the systematic risk and other uncontrollable factors, and it is more accurate than a single way used in the same case. The influence of the results is it may be a better way to make a good decision in portfolio investing field.
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