Optimal asset allocation using a combination of implied and historical information
Chi Wan Cheang, Jose Olmo, Tiejun Ma, Ming-Chien Sung, Frank McGroarty
| Year of publication: |
2020
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|---|---|
| Authors: | Cheang, Chi Wan ; Olmo, Jose ; Ma, Tiejun ; Sung, Ming-Chien ; McGroarty, Frank |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 67.2020, p. 1-14
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| Subject: | Asset allocation | Implied volatility | Historical volatility | Realized variance | Sharpe ratio | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2019.101419 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012299166