Raman Uppal
Bio sketch: Raman Uppal is Professor of Finance at Edhec Business School. He holds a bachelors degree in Economics from St. Stephen’s College (Delhi University), and M.A., M.B.A and Ph.D. degrees from The Wharton School of the University of Pennsylvania. Prior to working at Edhec Business School, he was at London Business School and the University of British Columbia.
His research focuses on optimal portfolio selection and asset allocation in dynamic environments, valuation of securities in capital markets, risk management, and exchange rates. This research has been published in journals such as Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, and Management Science. He is an editor of The Journal of Banking and Finance, an associate editor of The Review of Asset Pricing Studies, and The Critical Finance Review, a member of the editorial board of Mathematics and Financial Economics, and a former editor of the The Review of Financial Studies and The Review of Finance. He has also served as Co-Director of the Financial Economics Programme of the Centre for Economic Policy Research (CEPR). He has received several prizes for his research.
He has taught courses on Portfolio Choice and Asset Pricing, International Financial Markets, Multinational Financial Management, Risk Management, and Corporate Finance. He is the recipient of several prizes for his teaching, including the Dean’s Advisory Board’s Outstanding Teaching Award for 1988 at The Wharton School, the Teaching Excellence Award in 2000 at the Sauder School of Business at The University of British Columbia, and prizes for excellence in teaching at London Business School for the years 2001/2002, 2005/2006, 2007/08, 2008/09, and 2009/10.
Abstract: Our objective in this paper is to examine whether one can use option-implied information to improve the selection of mean-variance portfolios with a large number of stocks, and to document which aspects of option-implied information are most useful for improving their out-of-sample performance. Portfolio performance is measured in terms of four metrics: volatility, Sharpe ratio, certainty-equivalent return, and turnover. Our empirical evidence shows that using option-implied volatility helps to reduce portfolio volatility, but does not improve the Sharpe ratio or certainty-equivalent return; option-implied correlation does not improve any of the metrics; however, expected returns estimated using information in the volatility risk premium and option-implied skewness increase substantially both the Sharpe ratio and certainty-equivalent return, even after prohibiting short sales and accounting for transactions costs.
The current seminar list can be found on the Finance Group seminar web page