Asset allocation using option-implied moments

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: Bahaludin, Hafizah, Abdullah, Mimi Hafizah, Tolos, Siti Marponga
Format: Conference or Workshop Item
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/
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
id iium-57990
recordtype eprints
spelling iium-579902019-10-09T00:55:43Z http://irep.iium.edu.my/57990/ Asset allocation using option-implied moments Bahaludin, Hafizah Abdullah, Mimi Hafizah Tolos, Siti Marponga QA Mathematics 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 into risk-world density (RWD) is required. The RWD is obtained through parametric calibration using the beta distributions. The mean, volatility, and covariance are then calculated to construct the portfolio. The performance of the portfolio is evaluated by using portfolio volatility and Sharpe ratio. Institute of Physics Publishing 2017 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/57990/17/57990_Asset%20allocation.pdf application/pdf en http://irep.iium.edu.my/57990/23/57990_Asset%20allocation_SCOPUS.pdf Bahaludin, Hafizah and Abdullah, Mimi Hafizah and Tolos, Siti Marponga (2017) Asset allocation using option-implied moments. In: 1st International Conference on Applied & Industrial Mathematics and Statistics (ICoAIMS 2017), 8-9 Aug 2017, Pahang. http://iopscience.iop.org/article/10.1088/1742-6596/890/1/012158/pdf 10.1088/1742-6596/890/1/012158
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
English
topic QA Mathematics
spellingShingle QA Mathematics
Bahaludin, Hafizah
Abdullah, Mimi Hafizah
Tolos, Siti Marponga
Asset allocation using option-implied moments
description 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 into risk-world density (RWD) is required. The RWD is obtained through parametric calibration using the beta distributions. The mean, volatility, and covariance are then calculated to construct the portfolio. The performance of the portfolio is evaluated by using portfolio volatility and Sharpe ratio.
format Conference or Workshop Item
author Bahaludin, Hafizah
Abdullah, Mimi Hafizah
Tolos, Siti Marponga
author_facet Bahaludin, Hafizah
Abdullah, Mimi Hafizah
Tolos, Siti Marponga
author_sort Bahaludin, Hafizah
title Asset allocation using option-implied moments
title_short Asset allocation using option-implied moments
title_full Asset allocation using option-implied moments
title_fullStr Asset allocation using option-implied moments
title_full_unstemmed Asset allocation using option-implied moments
title_sort asset allocation using option-implied moments
publisher Institute of Physics Publishing
publishDate 2017
url http://irep.iium.edu.my/57990/
http://irep.iium.edu.my/57990/
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
first_indexed 2023-09-18T21:21:59Z
last_indexed 2023-09-18T21:21:59Z
_version_ 1777411942367887360

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