Asset allocation using option-implied moments
This study uses an option-implied distribution as the input in asset allocation. The computation of risk-neutral densities (RND) are based on the Dow Jones Industrial Average(DJIA) index option and its constituents. Since the RNDs estimation does not incorporate risk premium, the conversion of RND i...
| Main Authors: | , , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
IOP Publishing
2017
|
| Subjects: | |
| Online Access: | http://irep.iium.edu.my/64992/ http://irep.iium.edu.my/64992/ http://irep.iium.edu.my/64992/ http://irep.iium.edu.my/64992/7/64992%20Asset%20allocation%20using%20option-implied%20moments.pdf http://irep.iium.edu.my/64992/8/64992%20Asset%20allocation%20using%20option-implied%20moments%20SCOPUS.pdf |
Internet
http://irep.iium.edu.my/64992/http://irep.iium.edu.my/64992/
http://irep.iium.edu.my/64992/
http://irep.iium.edu.my/64992/7/64992%20Asset%20allocation%20using%20option-implied%20moments.pdf
http://irep.iium.edu.my/64992/8/64992%20Asset%20allocation%20using%20option-implied%20moments%20SCOPUS.pdf