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...

This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We...

This paper provides implied measures of higher-order dependencies between assets. These measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the full covariance, co-skewness, and co-kurtosis matrices of asset returns. In...

This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We...

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...

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...

This paper provides implied measures of higher-order dependencies between assets. The measures exploit only forward-looking information from the options market and can be used to construct an implied estimator of the covariance, co-skewness, and co-kurtosis matrices of asset returns. We...

Nach §44 Investmentgesetz (InvG) sind Investmentfonds verpflichtet, im Rahmen ihres regelmäßigen Berichtswesens den Anlegern zumindest halbjährlich ihre Portfoliozusammensetzung bekannt zu geben. Häufigere oder auch detailliertere Portfolioveröffentlichung erhöht die Trans parenz des...

In this paper we develop the rst estimator of the covariance matrix that relies solely onforward-looking information. This estimator only uses price information from a cross-sectionof plain-vanilla options. In an out-of-sample study for US blue-chip stocks we show that aminimum-variance strategy...