Asset allocation using option-implied moments

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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...

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Bibliographic Details
Main Authors:	Bahaludin, Hafizah, Abdullah, Mimi Hafizah, Tolos, Siti Marponga
Format:	Proceeding Paper
Language:	English English
Published:	Institute of Physics Publishing 2017
Subjects:	QA Mathematics
Online Access:	http://irep.iium.edu.my/57990/ http://irep.iium.edu.my/57990/17/57990_Asset%20allocation.pdf http://irep.iium.edu.my/57990/23/57990_Asset%20allocation_SCOPUS.pdf

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