@techreport{cb0664bc2a5040ac9e3c5331c9d7e128,
title = "Equity Portfolio Management Using Option Price Information",
abstract = "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.",
keywords = "Option-implied volatility, Commodity futures, Cross-section of stocks, Option-implied beta, Mean-variance optimization",
author = "Peter Christoffersen and Pan, {Xuhui (Nick)}",
year = "2015",
doi = "10.2139/ssrn.2419587",
language = "English",
series = "Creates Research Paper",
publisher = "Aarhus Universitetsforlag",
number = "2015-5",
address = "Denmark",
type = "WorkingPaper",
institution = "Aarhus Universitetsforlag",
}