This paper explores option‐implied information measures for optimal portfolio allocation. We introduce two state variables constructed from option prices. The first state variable is the risk‐premium on the risky asset and the second variable is the market price of risk. We also explore a lognormal distribution, a mixture of lognormal distributions, and a binomial tree for constructing the implied risk‐neutral density function. Using a combination of statistical and economic measures applied to a portfolio given by the 1‐month US Treasury bill and the S&P 500 Index we show the good performance of option‐implied information measures for optimal portfolio allocation.

中文翻译：

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使用期权隐含信息优化投资组合分配

本文探讨了隐含期权的信息措施，以优化投资组合分配。我们介绍由期权价格构成的两个状态变量。第一个状态变量是风险资产的风险溢价，第二个变量是风险的市场价格。我们还探索了对数正态分布，对数正态分布的混合以及用于构建隐含风险中性密度函数的二项式树。通过结合使用1个月美国国库券和标准普尔500指数给出的投资组合中的统计和经济指标，我们可以证明期权隐含信息指标在优化投资组合方面的良好表现。