Semiparametric option-implied information and median-variance approach: a game-changer in integrating sustainable practices in portfolio optimization

• Main Authors: Harun, Hanani Farhah, Bakar, Maharani Abu, Abdullah, Mimi Hafizah
• Format: Article
• Language: English; English
• Published: International Information and Engineering Technology Association 2024
• Subjects: QA Mathematics
• Online Access: http://irep.iium.edu.my/118328/7/118328_Semiparametric%20option-implied%20information%20and%20median-variance%20approach.pdf; http://irep.iium.edu.my/118328/8/118328_Semiparametric%20option-implied%20information%20and%20median-variance%20approach_Scopus.pdf; http://irep.iium.edu.my/118328/; https://www.iieta.org/journals/ijsdp/paper/10.18280/ijsdp.190622

Portfolio weights often exhibit instability when positioning is based on expected returns estimated using historical data, with the normal distribution assumption in many models proving irrelevant for swift investor decision-making. To address these shortcomings, this study introduces a methodology...