Improving portfolio selection using option-implied volatility and skewness
Victor DeMiguel, Yuliya Plyakha, Raman Uppal, and Grigory Vilkov
| Year of publication: |
2013
|
|---|---|
| Authors: | DeMiguel, Victor ; Plyakha, Yuliya ; Uppal, Raman ; Vilkov, Grigory |
| Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 48.2013, 6, p. 1813-1845
|
| Subject: | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Volatilität | Volatility | Risikoprämie | Risk premium | Optionspreistheorie | Option pricing theory | USA | United States | 1996-2010 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010388250