A Portfolio Construction Approach Based on Options Implied Density Distributions
Posted on April 18, 2024
An investment portfolio can be constructed by using momentum, minimum-variance, or mean-variance approaches. It involves combining assets in a way that optimizes risk and return. Each approach offers its own trade-offs: momentum strategies may suffer during market reversals, while minimum-variance portfolios may underperform in strongly trending markets. Meanwhile, mean-variance portfolios …