Research and publications
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
The objective of this paper is to examine whether one can use option-implied information to improve the selection of portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful for improving their out-of-sample performance. Portfolio performance is measured in terms of four metrics: volatility, Sharpe ratio, certainty-equivalent return and turnover. A revisited version of this paper was published in the December 2013 issue of the Journal of Financial and Quantitative Analysis.
Author(s):
Victor DeMiguel, Yuliya Plyakha, Raman Uppal, Grigory Vilkov
Summary:
The objective of this paper is to examine whether one can use option-implied information to improve the selection of portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful for improving their out-of-sample performance. Portfolio performance is measured in terms of four metrics: volatility, Sharpe ratio, certainty-equivalent return and turnover. A revisited version of this paper was published in the December 2013 issue of the Journal of Financial and Quantitative Analysis.
Register to download PDF
Register/Log in| Type : | Working paper |
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| Date : | 01/03/2011 |
| Keywords : |
Performance |
About EDHEC
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