Market Timing with Option-Implied Distributions: A Forward-Looking Approach
提出一种利用市场期权价格提取隐含分布并转化为风险调整分布的前瞻性方法，用于静态资产配置，发现该方法比基于历史收益的分布能更好地择时并提升投资者效用，即使考虑交易成本也成立，但在次贷危机期间择时能力下降。
We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions and transform them to the corresponding risk-adjusted ones. Then we form optimal portfolios consisting of a risky and a risk-free asset and evaluate their out-of-sample performance. We find that the use of risk-adjusted implied distributions times the market and makes the investor better off than if she uses historical returns' distributions to calculate her optimal strategy. The results hold under a number of evaluation metrics and utility functions and carry through even when transaction costs are taken into account. Not surprisingly, the reported market timing ability deteriorated during the recent subprime crisis. An extension of the approach to a dynamic asset allocation setting is also presented. This paper was accepted by Wei Xiong, finance.