Paper | Criteria | Investment assets |
Cuturi and d’Aspremont [2017] | Pred, Port, Cross | Implied volatility of U.S. stocks (single asset) |
Zhao and Palomar [2018] | Pred, Port, Cross | U.S. stocks (single asset) |
Our research | Pred, Port, Cross Pred + Port + Cross | Global futures (multi-asset) |