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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 i...

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Bibliographic Details
Main Authors: Bahaludin, Hafizah, Abdullah, Mimi Hafizah, Tolos, Siti Marponga
Format: Conference or Workshop Item
Language:English
English
Published: IOP Publishing 2017
Subjects:
QA276 Mathematical Statistics
Online Access: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
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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

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