21Vol.2,No.1 20221China Journal of Econometrics Jan.,2022
doi:10.12012/CJoE2020-0029
,,
(,100029)
50ETF,50
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Rearch on Application of Option Implied Information in
Portfolio Optimization
YU Mei,YIN Fangsheng,HE Qinlian
(Institute of Finance,University of International Business and Economics,Beijing100029,China)
Abstract This article us the model-free method for thefirst time to calculate
the implied volatility of SSE50ETF options.The constituent stocks of the SSE50 Index construct an investment portfolio for the ast pool.In addition,the investment effects of minimum variance portfolio constructed with implied information,minimum
variance portfolio bad on historical information,equal weight portfolio,market value
weighted portfolio,and market portfolio are compared.The rearch results show that
during the period of vere market volatility,when the market panic is vere,the
performance of the minimum variance portfolio optimized by the implied volatility of
options is better than the four benchmark portfolios bad on historical data.Therefore, investors sho
uld effectively u the forward-looking information implied in options to
optimize the performance of investment portfolios.
:2020-07-28
:(71773100,91746109);(17XJC790009) Supported by National Natural Science Foundation of China(71773100,91746109);The MOE Foundation of Humanities and Social Sciences(17XJC790009)
:,,:,E-mail:**************;,,
:,E-mail:********************;,,:,E-mail:hql199832@
1422 Keywords model free;implied volatility;minimum variance portfolio嘴里苦是什么原因
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