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On Market Efficiency, Optimal Distributional Trading Gain, and Utility Maximization

Publikace

Tento text není v aktuálním jazyce dostupný. Zobrazuje se verze "en".Abstrakt

We determine a utility-maximizing portfolio that optimizes the benefit an agent may receive by trading the difference between his perceived future distribution of a security price and the risk-neutral density provided by the corresponding option market. We also show that the United States equity market was inefficient during the weeks following the initiation of the Covid 19 pandemic.