全球智库信息集成服务系统(G2TT): DP7686 Improving Portfolio Selection Using Option-Implied Volatility and Skewness

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP7686
	DP7686 Improving Portfolio Selection Using Option-Implied Volatility and Skewness
	Victor DeMiguel; Yuliya Plyakha; Grigory Vilkov
发表日期	2010-02-14
出版年	2010
语种	英语
摘要	Our objective in this paper is to examine whether one can use option-implied information to improve mean-variance portfolio selection with a large number of stocks, and to document which aspects of option-implied information are most useful for improving the out-of-sample performance of mean-variance portfolios. To calculate the optimal mean-variance portfolio weights, one needs to estimate for each stock its volatility, correlations with all other stocks, and expected return. Our empirical evidence shows that, while using the option-implied volatilities and correlations does not improve significantly the portfolio variance, Sharpe ratio, and certainty-equivalent return, exploiting information about expected returns that is contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty-equivalent returns, but this is accompanied by higher portfolio turnover.
主题	Financial Economics
关键词	Mean-variance Option-implied skewness Option-implied volatility Portfolio optimization Variance risk premium
URL	https://cepr.org/publications/dp7686
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/536523
推荐引用方式 GB/T 7714	Victor DeMiguel,Yuliya Plyakha,Grigory Vilkov. DP7686 Improving Portfolio Selection Using Option-Implied Volatility and Skewness. 2010.