The role of an option-implied distribution in improving as asset allocation model
The objective of this paper is to extend the information embedded in option-implied distribution to asset allocation model. This paper examines whether a parameter estimated from an option-implied distribution can improve a minimum-variance portfolio which consists of many risky assets. The option-i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
UTM Press
2020
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/78720/ http://irep.iium.edu.my/78720/ http://irep.iium.edu.my/78720/ http://irep.iium.edu.my/78720/1/01_2018%20The%20role%20of%20an%20option-implied%20distribution%20in%20improving%20an%20asset%20allocation%20model.pdf |