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Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios

Bakshi, Gurdip S.; Panayotov, George; Skoulakis, Georgios - In: Journal of financial economics 100 (2011) 3, pp. 475-495

Persistent link: https://www.econbiz.de/10009242197

Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios

Bakshi, Gurdip S. - 2012

This paper presents an option positioning that allows us to infer forward variances from option portfolios. The forward variances we construct from equity index options help to predict (i) growth in measures of real economic activity, (ii) Treasury bill returns, (iii) stock market returns, and...

Persistent link: https://www.econbiz.de/10013116049

Generalized method of moments : applications in finance

Jagannathan, Ravi; Skoulakis, Georgios; Wang, Zhenyu - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 4, pp. 470-481

Persistent link: https://www.econbiz.de/10001705960

Numerical solutions to dynamic portfolio problems : the case for value function iteration using Taylor approximation

Garlappi, Lorenzo; Skoulakis, Georgios - In: Computational economics 33 (2009) 2, pp. 193-207

Persistent link: https://www.econbiz.de/10003811680

Taylor series approximations to expected utility and optimal portfolio choice

Garlappi, Lorenzo; Skoulakis, Georgios - In: Mathematics and financial economics 5 (2011) 2, pp. 121-156

Persistent link: https://www.econbiz.de/10009315536

Solving consumption and portfolio choice problems : the state variable decomposition method

Garlappi, Lorenzo; Skoulakis, Georgios - In: The review of financial studies 23 (2010) 9, pp. 3346-3400

Persistent link: https://www.econbiz.de/10008664113

Essays in asset pricing and financial econometrics

Skoulakis, Georgios - 2006

Persistent link: https://www.econbiz.de/10003908302

The spirit of capitalism and stock-market prices

Bakshi, Gurdip S. - In: The American economic review 86 (1996) 1, pp. 133-157

Persistent link: https://www.econbiz.de/10001201842

Markowitz models of portfolio selection : the inverse problem

Hartley, Michael J.; Bakshi, Gurdip S. - In: Advances in investment analysis and portfolio … 7 (2000), pp. 55-89

Persistent link: https://www.econbiz.de/10001542584

Delta-hedged gains and the negative market volatility risk premium

Bakshi, Gurdip S.; Kapadia, Nikunj - In: The review of financial studies 16 (2003) 2, pp. 527-566

Persistent link: https://www.econbiz.de/10001764238