We develop a new family of estimators of the covariance matrix that relies solely on forwardlooking information. It … historical estimates, index investing, and 1/N investing. The outperformance originates in crisis periods when information ow and … information asymmetry are high. Although the historical benchmark strategies improve when more recent data is used, they never …

-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co …

-looking information from the options market and can be used to construct an implied estimator of the full covariance, co-skewness, and co …

market betas dispersion. Newly developed implied correlations for economic sectors provide industry-related information and …

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 …

-looking information. These estimators only use current price information from a cross-section of plain-vanilla options and employ … crisis periods when information flow and information asymmetry are high. The outperformance can only be reached using a fully … diversification benefits by relying solely on forward-looking information from options markets …

realized Sharpe, Sortino and information ratios increase when the sample covariance matrix estimator is replaced with its … implied counterpart. However, the benefits of using option-implied information are countered by an increase in portfolio …