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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| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
Institute of Physics Publishing
2017
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/57990/17/57990_Asset%20allocation.pdf http://irep.iium.edu.my/57990/23/57990_Asset%20allocation_SCOPUS.pdf http://irep.iium.edu.my/57990/ http://iopscience.iop.org/article/10.1088/1742-6596/890/1/012158/pdf |
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