期权隐含信息在投资组合优化中的应用研究

2202211ChinaJournalofEconometricsVol.2,No.1Jan.,2022doi:10.12012/CJoE2020-0029,,(,100029)50ETF,50,.,,.,.;;ResearchonApplicationofOptionImpliedInformationinPortfolioOptimizationYUMei,YINFangsheng,HEQinlian(InstituteofFinance,UniversityofInternationalBusinessandEconomics,Beijing100029,China)AbstractThisarticleusesthemodel-freemethodforthefistituentstotion,theinvestmenteffectsofminimumvarianceportfolioconstructedwithimpliedinformation,minimumvarianceportfoliobasedonhistoricalinformation,equalweightportfolio,marketvalueweightedportfolio,earchresultsshowthatduringtheperiodofseveremarketvolatility,whenthemarketpanicissevere,theperformanceoftheminimumvarianceportfoliooptimizedbytheimpliedvolatilityofoptore,investorsshouldeffectivelyusetheforward-lookinginformationimpliedinoptionstooptimizetheperformanceofinvestmentportfolios.:2020-07-28:(71773100,91746109);(17XJC790009)SupportedbyNationalNaturalScienceFoundationofChina(71773100,91746109);TheMOEFoundationofHumanitiesandSocialSciences(17XJC790009):,,:,E-mail:**************;,,:,E-mail:********************;,,:,E-mail:hql199832@.

1422Keywordsmodelfree;impliedvolatility;minimumvarianceportfolio1.1952,Mark-owitz,,:.;,,,.,,,.,.,,,,.,,,,,.,,.,2019.,50ETF6.18,201941.33.,??,,50,,50ETF.,..:,,,.2BreedenandLitzenberger(1978),.Britten-,JonesandNeuberger(2000).,JiangandTian(2005)Britten-JonesandNeuberger(2000).,Bakshietal.(2003),,.,

1,,:143,.Demigueletal.(2013),Alexanderetal.(2014),(2017),.,,.Kost-akisetal.(2011)500,,,.Demigueletal.(2013),,.Alexanderetal.(2014),,,,.AdrianandGrigory(2012),β.,ββ.Harrisetal.(2018),Liuetal.(2019),Ammannetal.(2019).50ETF,.,,.(2011),..(2017),(2017),(2017).50ETF.,,.50ETF,,,.33.1,:B-S,,.,,.Bakshietal.(2003)(MFIV).,tTV(t,T),:,,B-S,,

1442.,,.Bakshietal.(2003)(MFIV).,tTV(t,T),: