Market timing with option-implied distributions: A forward-looking approach

Management Science

Volumn 57, Issue 7, 2011, Pages 1231-1249

  Kostakis, Alexandros ^a   Panigirtzoglou, Nikolaos ^b   Skiadopoulos, George ^c,d,e  

^a UNIVERSITY OF LIVERPOOL MANAGEMENT SCHOOL   (United Kingdom)

^b UNIVERSITY OF LONDON   (United Kingdom)

^c UNIVERSITY OF PIRAEUS   (Greece)

^d UNIVERSITY OF WARWICK   (United Kingdom)

^e CITY UNIVERSITY   (United Kingdom)

Author keywords

Asset allocation; Market timing; Option implied distributions; Performance evaluation; Portfolio choice; Risk aversion

Indexed keywords

ASSET ALLOCATION; MARKET TIMING; OPTION-IMPLIED DISTRIBUTIONS; PERFORMANCE EVALUATION; PORTFOLIO CHOICE; RISK AVERSION;

INVESTMENTS; OPTIMIZATION;

COMMERCE;

EID: 79960421265     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1110.1346     Document Type: Article

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