Kostakis, Alexandros; Panigirtzoglou, Nikolaos; … - In: Management Science 57 (2011) 7, pp. 1231-1249
that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions … risk-free asset and evaluate their out-of-sample performance. We find that the use of risk-adjusted implied distributions …