Asset allocation using option-implied moments

• 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/57990/17/57990_Asset%20allocation.pdf; http://irep.iium.edu.my/57990/23/57990_Asset%20allocation_SCOPUS.pdf; http://irep.iium.edu.my/57990/; http://iopscience.iop.org/article/10.1088/1742-6596/890/1/012158/pdf
• Institution: Universiti Islam Antarabangsa Malaysia

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...