Option-implied equity premium predictions via entropic tilting
Davide Pettenuzzo (Economics Department, Brandeis University), Konstantinos Metaxoglou (Department of Economics, Carleton University), Aaron Smith (Department of Agricultural and Resource Economics, University of California, Davis)
| Year of publication: |
January 4, 2016
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| Authors: | Pettenuzzo, Davide ; Metaxoglou, Konstantinos ; Smith, Aaron D. |
| Publisher: |
Waltham, MA : Brandeis University, Department of Economics and International Business School |
| Subject: | entropic tilting | density forecasts | variance risk premium | equity premium options | Risikoprämie | Risk premium | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | CAPM | Optionsgeschäft | Option trading | Börsenkurs | Share price | Statistische Verteilung | Statistical distribution |