Endogeneity of Return Parameters and Portfolio Selection: An Analysis on Implied Covariances

被引：1

作者：

Park, Koohyun ^{[1
]}

Rhee, Thomas ^{[2
]}

机构：

[1] Hongik Univ, Sch Informat & Comp Engn, Seoul, South Korea

[2] Calif State Univ Long Beach, Coll Business Adm, Dept Finance, Long Beach, CA 90840 USA

来源：

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | 2017年 / 46卷 / 05期

关键词：

Endogeneity of return parameters; Option implied covariance; Option implied volatility; Forward-looking volatility; Forward-looking covariance; Risk-neutral probability; Portfolio selection; Quadratic programming; OPTIONS; OPTIMIZATION;

D O I：

10.1111/ajfs.12187

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper presents a method to measure forward-looking covariance risk for any two assets even when the explicit market for barter trades does not exist. We argue that the terms of trade in any barter exchanges also follow a martingale process with no arbitrage. We then compute various bivariate martingale probabilities for different assets to value all possible pseudo exchange options. This makes it possible for one to compute implied covariances embedded in the value of any exchange options as in Margrabe (1978). The paper also discusses how these recoverable implied return distribution parameters can impact portfolio choice.

引用

页码：760 / 789

页数：30

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