Work

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Year: 2011

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1474212

Authors: Victor DeMiguel, Yuliya Plyakha, Raman Uppal, Grigory Vilkov

Institutions: London Business School, University of Luxembourg, Centre for Economic Policy Research, Ecole des Hautes Etudes Commerciales du Nord, Frankfurt School of Finance & Management

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2116415526

Cites: 89

Cited by: 88

Related to: 10