Using option-implied information in portfolio selection and risk management

The objective of this dissertation is two-fold. The first objective is to examine whether one can use implied information (implied volatility and implied correlations) from the options market to improve the out-of-sample performance of an all-stock optimized portfolio. Portfolio performance is measu...

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Bibliographic Details
Main Author: Ferreira, Mackenzie Mark Galvão (author)
Format: masterThesis
Language:eng
Published: 2021
Subjects:
Mean-variance
Option-implied volatility
Option-implied correlation
Portfolio optimization
Value-at-Risk (VaR)
Tail risk
Média-variância
Volatilidade implícita da opção
Correlação implícita da opção
Otimização da carteira
Valor em risco (VaR)
Risco de cauda
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
Online Access:http://hdl.handle.net/10400.14/35556
Country:Portugal
Oai:oai:repositorio.ucp.pt:10400.14/35556

Internet

http://hdl.handle.net/10400.14/35556

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