Option-implied distribution in a portfolio selection model : an empirical study /

Option-implied distribution in a portfolio selection model : an empirical study /

Estimation of parameters such as mean and volatility from historical prices are used as inputs to a portfolio model. Recently, researchers found that the estimation parameters based on option prices have made a significant improvement in the performance of a portfolio. To date, the usefulness of an...

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Bibliographic Details
Main Author: Hafizah binti Bahaludin (Author)
Format: Thesis
Language:English
Subjects:
Investments > Mathematical models
Portfolio management > Mathematical models
Financial risk management > Mathematical models
Stock options > Prices > Mathematical models
Theses, IIUM local
Online Access:https://lib.iium.edu.my/mom/services/mom/document/getFile/MCsbB8kz20SKJCxoIqrwv7reHImw0P3D20200805085439092
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https://lib.iium.edu.my/mom/services/mom/document/getFile/MCsbB8kz20SKJCxoIqrwv7reHImw0P3D20200805085439092

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