Endogeneity of return parameters and portfolio selection : an analysis on implied covariances
Koohyun Park, Thomas Rhee
| Year of publication: |
October 2017
|
|---|---|
| Authors: | Park, Koohyun ; Rhee, Thomas |
| Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 46.2017, 5, p. 760-789
|
| Subject: | Endogeneity of return parameters | Option implied covariance | Option implied volatility | Forward-looking volatility | Forward-looking covariance | Risk-neutral probability | Portfolio selection | Quadratic programming | Volatilität | Volatility | Portfolio-Management | Korrelation | Correlation | Kapitaleinkommen | Capital income | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ajfs.12187 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011779403