• No results found

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

N/A
N/A
Protected

Academic year: 2021

Share "Improving Portfolio Selection Using Option-Implied Volatility and Skewness"

Copied!
46
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Table 1: Return Predictability
Table 2: Minimum-Variance Portfolios Without Option-Implied Information In this table, we report the performance of the 1/N portfolio and various minimum-variance benchmark portfolios that are based on historical returns and do not rely on prices of option
Table 3: Mean-Variance Portfolios Without Option-Implied Information
Table 4: Minimum-Variance Portfolios Using Option-Implied Volatility
+6

References

Related documents

The mentioned resolution is not related to the accuracy of the signal.. If only driver card 2 is present, a delimiter followed by parameter driver 2 identification and the

pathogen of soybean in the United States. Annual yield losses from SCN are estimated to be over $2 billion worldwide. However, SCN virulence or the ability of a nematode to grow

The study was limited to students who had participated in the Leadership Studies Certificate Program coursework through the Department of Leadership Studies at Fort Hays

Figure 5: Diagram of important findings demonstrate (A) heterogeneous population of cancer cells are composed of tumor cells and CSCs upon iBET762 displacement of histone H4; (B)

The study reports a significant difference between an expected equal distribution and observed distribution of birth dates by year half, quartile and month in amateur boxing..

z Use small knife with child nearby 95 z Imaginal exposure: stabbing child 90 z Walk with child near the balcony at the mall 85 z Stand near window on high floor with child 80

For example, in order to define a Service Level Agreement, the company needs to know how active the customer was in terms of sales, support, etc.. so it can define its support