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...
Main Authors: | Bahaludin, Hafizah, Abdullah, Mimi Hafizah, Tolos, Siti Marponga |
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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/ 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 |
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