Kostakis, Alexandros; Panigirtzoglou, Nikolaos; … - In: Management Science 57 (2011) 7, pp. 1231-1249
We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, we extract constant maturity S&P 500 implied distributions and transform them to the corresponding risk-adjusted...