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The Predictive Content of Option Prices for Asset Returns
Incorporating option-implied forecasts for the construction of portfolios that are superior in perfomance compared to others which employ different methodologies. With a main focus being on the estimation of the aforementioned forecasts that will allow for this goal to be achieved. Aiming to investigate amongst various, and long used, forecasting methodologies currently in the literature, along with novel ones; in terms of their performance and accuracy.