Portfolio Optimization Using Forward-Looking Information*

DOI10.1093/ROF/RFU006MaRDI QIDQ4554725zbMATH OpenOpenAlexFDO

Authors Alexander Kempf, Olaf Korn, Sven Saßning

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

forward-looking informationplain-vanilla optionsportfolio optimization

Mathematics Subject Classification ID

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

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Cited in

(12)

• Risk-adjusted option-implied moments
• Option-implied skewness: insights from ITM-options
• Fourier inversion formulas for multiple-asset option pricing
• Market timing with option-implied distributions: A forward-looking approach
• Anticipative portfolio optimization
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Optimal diversification in the presence of parameter uncertainty for a risk averse investor
• Factor-based portfolio optimization
• Optimal currency portfolio with implied return distribution in the mean-variance approach
• Physical returns in a pricing world: towards forward-looking market risk measures
• Estimation of expected return integrating real-time asset prices implied information and historical data
• Forward-looking physical tail risk: a deep learning approach

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