Asset allocation using option-implied moments

Semiparametric Option-Implied Information and Median-Variance Approach: A Game-Changer in Integrating Sustainable Practices in Portfolio Optimization

“…Nowadays, researchers have taken a different direction by using data of option prices. Similar studies use forward-looking data to solve portfolio optimization models [4,[9][10][11]. In fact, several studies have demonstrated that the use of higher-order moments or additional information can address this issue [12,13].…”