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Improving Portfolio Selection Using Option-Implied Volatility and Skewness · Study

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PreprintImproving Portfolio Selection Using Option-Implied Volatility and Skewness

Victor DeMiguel2011

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Preprintgreen2011

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Victor DeMiguel · Yuliya Plyakha · Raman Uppal · Grigory Vilkov

88 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1992The Cross-Section of Expected Stock Returns 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1971Optimum consumption and portfolio rules in a continuous-time model 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?

Cited by

2016Enhancing mean–variance portfolio selection by modeling distributional asymmetries 2020Optimal ESG Portfolios: An Example for the Dow Jones Index 2014Portfolio Optimization Using Forward-Looking Information 2016An International Comparison of Implied, Realized, and GARCH Volatility Forecasts 2011Characteristic-based mean-variance portfolio choice 2018The Hierarchical Equal Risk Contribution Portfolio

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Details

Year2011

Typepreprint

Published2011-12-28

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations88

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.1474212

openalex_workW2116415526

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2018A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion

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