The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios
Year of publication: |
2022
|
---|---|
Authors: | Guidolin, Massimo ; Wang, Kai |
Publisher: |
[S.l.] : SSRN |
Subject: | Equity options | Implied volatility surface | Predictability | optimal portfolios | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
Extent: | 1 Online-Ressource (45 p) |
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Series: | BAFFI CAREFIN Centre Research Paper ; No. 190 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 6, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4294939 [DOI] |
Classification: | G11 - Portfolio Choice ; G17 - Financial Forecasting ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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