Asset allocation using option-implied moments

• Main Authors: Bahaludin, Hafizah, Abdullah, Mimi Hafizah, Tolos, Siti Marponga
• 格式: Conference or Workshop Item
• 語言: English; English
• 出版: IOP Publishing 2017
• 主題: QA276 Mathematical Statistics
• 在線閱讀: 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; http://irep.iium.edu.my/64992/; http://iopscience.iop.org/article/10.1088/1742-6596/890/1/012158/pdf

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...