Gateway to Think Tanks
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. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。