Optimal Portfolio Allocation with Option-Implied Moments: A Forward-Looking Approach


This paper proposes a forward-looking approach to estimate individual stock moments from option prices, including option-implied mean, volatility, beta, and covariance, and uses these inputs to determine optimal portfolios. We... [ view full abstract ]


  1. Tzu-ying Chen (National Taiwan University)
  2. San-lin Chung (National Taiwan University)
  3. Yaw-Huei Wang (National Taiwan University)

Topic Areas

Asset Allocation , Mean-Variance , Options


TU-A-B1 » Mean-Risk Asset Allocation (11:30 - Tuesday, 17th July, Beckett 1)

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