On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10452006" target="_blank" >RIV/00216208:11320/22:10452006 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=EC1XdGLd-p" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=EC1XdGLd-p</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.ejor.2022.01.048" target="_blank" >10.1016/j.ejor.2022.01.048</a>
Alternative languages
Result language
angličtina
Original language name
On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
Original language description
A method is developed to determine the portfolio that maximizes the expected utility of an agent that trades the difference between a perceived future price distribution of an asset and the associated market implied risk neutral density. Exact results to construct and price such a portfolio are presented under the assumption that the underlying asset price evolves according to a geometric Brownian motion. Integer programming optimization techniques are applied to the general case where one first calibrates the asset price risk neutral density directly from option market data using Gatheral's SVI parameterization. Several numerical examples approximating the optimal payoff function with liquid securities are given. (C) 2022 Elsevier B.V. All rights reserved.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA21-19311S" target="_blank" >GA21-19311S: Information Flow and Equilibrium in Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
European Journal of Operational Research
ISSN
0377-2217
e-ISSN
1872-6860
Volume of the periodical
302
Issue of the periodical within the volume
3
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
15
Pages from-to
1215-1229
UT code for WoS article
000812288200009
EID of the result in the Scopus database
2-s2.0-85124968185