Portfolio Optimization Using Forward-Looking Information*

DOI10.1093/ROF/RFU006zbMath1417.91457OpenAlexW3125894375MaRDI QIDQ4554725

Sven Saßning, Olaf Korn, Alexander Kempf

Publication date: 9 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/92383

zbMATH Keywords

portfolio optimizationforward-looking informationplain-vanilla options

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

Risk-adjusted option-implied moments ⋮ Fourier inversion formulas for multiple-asset option pricing ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Option-implied skewness: insights from ITM-options ⋮ Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor

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