Kempf, Alexander; Korn, Olaf; Saßning, Sven - Institut für Finanzmarktforschung, Wirtschafts- und … - 2014
We develop a new family of estimators of the covariance matrix that relies solely on forwardlooking information. It uses only current prices of plain-vanilla options. In an out-of-sample study we show that a minimum-variance strategy based on these fully-implied estimators outperforms several...