Equity Portfolio Management Using Option Price Information

Peter Christoffersen, Xuhui (Nick) Pan

Publikation: Working paperForskning

Abstrakt

We survey the recent academic literature that uses option-implied information to construct equity portfolios. Studies show that equity managers can earn a positive alpha by using information in individual equity options, by using stocks' exposure to information in market index options, and by using stocks' exposure to crude oil option information. Option-implied information can also help construct better mean-variance portfolios and better estimates of market beta.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverAarhus Universitetsforlag
Antal sider29
DOI
StatusUdgivet - 2015
NavnCreates Research Paper
Nummer2015-5
NavnRotman School of Management Working Paper
Nummer2419587

Emneord

  • Option-implied volatility
  • Commodity futures
  • Cross-section of stocks
  • Option-implied beta
  • Mean-variance optimization

Citationsformater